Reflecting diffusions and hyperbolic Brownian motions in multidimensional spheres

DOI10.1007/S10986-013-9206-8MaRDI QIDQ383669zbMATH OpenOpenAlexFDO

Authors Olga Aryasova, Alessandro De Gregorio, Enzo Orsingher

Publication date 5 December 2013

Published in Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1207.4000

zbMATH Keywords

Ornstein-Uhlenbeck processBessel processhyperbolic distancecircular inversionPoincaré half-spaceMeyer-Itô formula

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Transition functions, generators and resolvents (60J35)

Abstract: Diffusion processes $$ moving inside spheres $S_R^{d}subsetmathbb{R}^d$ and reflecting orthogonally on their surfaces $partial{S}_R^d$ are considered. The stochastic differential equations governing the reflecting diffusions are presented and their kernels and distributions explicitly derived. Reflection is obtained by means of the inversion with respect to the sphere $S_R^d$. The particular cases of Ornstein-Uhlenbeck process and Brownian motion are examined in detail. The hyperbolic Brownian motion on the Poincar`e half-space $mathbb{H}_d$ is examined in the last part of the paper and its reflecting counterpart within hyperbolic spheres is studied. Finally a section is devoted to reflecting hyperbolic Brownian motion in the Poincar`e disc $D$ within spheres concentric with $D$.

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Cited in

(5)

• Hitting properties of parabolic s.p.d.e.'s with reflection.
• Synchronous couplings of reflected Brownian motions in smooth domains
• Reflecting random flights
• Obliquely reflected Brownian motion in nonsmooth planar domains
• Reflecting Brownian motion in the \(d\)-ball

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