On a multidimentional Brownian motion with partly reflecting membrane on a hyperplane

MaRDI QIDQ4538825zbMATH OpenFDO

Authors L. L. Zajtseva

Publication date 3 July 2002

Full work available at URL https://arxiv.org/abs/1210.8015

zbMATH Keywords

generalized diffusion processmultidimensional Brownian motion

Mathematics Subject Classification ID

Generalized stochastic processes (60G20) Diffusion processes (60J60)

Abstract: A multidimensional Brownian motion with partial reflection on a hyperplane $S$ in the direction $qN+alpha$, where $N$ is the conormal vector to the hyperplane and $qin[-1,1],alphainS$ are given parametres, is constructed and this construction is based on both analytic and probabilistic approaches. The joint distribution of $d-$dimensional analogy to skew Brownian motion and its local time on the hyperplane is obtained.

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