Skorohod-reflection of Brownian Paths and BES^3

MaRDI QIDQ3539596zbMATHFDO

Authors Bálint Tóth, Bálint Vető

Publication date 19 November 2008

Full work available at URL https://arxiv.org/abs/0711.0631

zbMATH Keywords

reflected Brownian motions3-dimensional Bessel processSkorohod-reflection

Mathematics Subject Classification ID

Diffusion processes (60J60) Brownian motion (60J65)

Abstract: Let B(t), X(t) and Y(t) be independent standard 1d Borwnian motions. Define X^+(t) and Y^-(t) as the trajectories of the processes X(t) and Y(t) pushed upwards and, respectively, downwards by B(t), according to Skorohod-reflection. In a recent paper, Jon Warren proves inter alia that Z(t):= X^+(t)-Y^-(t) is a three-dimensional Bessel-process. In this note, we present an alternative, elementary proof of this fact.

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(1)

• Limit theorems for the trajectory of the self-repelling random walk with directed edges

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