On Brownian motion on the plane with membranes on rays with a common endpoint

DOI10.1515/ROSE.2009.010MaRDI QIDQ3077693zbMATH OpenOpenAlexFDO

Authors Olga Aryasova, Andrey Yu. Pilipenko

Publication date 22 February 2011

Published in Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0902.0067

zbMATH Keywords

skew Brownian motionsingular SDE

Mathematics Subject Classification ID

Brownian motion (60J65)

Abstract: We consider a Brownian motion on the plane with semipermeable membranes on n rays that have a common endpoint in the origin. We obtain the necessary and sufficient conditions for the process to reach the origin and we show that the probability of hitting the origin is equal to zero or one.

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Cites work

• Brownian motion in a wedge with oblique reflection
• On skew Brownian motion

Cited in

(5)

• On a Brownian motion with a hard membrane
• On Reflected Diffusions in Cones and Cylinders
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