Stationary distributions for diffusions with inert drift

DOI10.1007/S00440-008-0182-6zbMATH Open1210.60058arXiv0804.2029OpenAlexW2000653061WikidataQ56894429 ScholiaQ56894429MaRDI QIDQ843701FDOQ843701

Authors: Richard F. Bass, K. Burdzy, Zhen-Qing Chen, Martin Hairer 

Publication date: 15 January 2010

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Abstract: Consider a reflecting diffusion in a domain in $R^d$ that acquires drift in proportion to the amount of local time spent on the boundary of the domain. We show that the stationary distribution for the joint law of the position of the reflecting process and the value of the drift vector has a product form. Moreover, the first component is the symmetrizing measure on the domain for the reflecting diffusion without inert drift, and the second component has a Gaussian distribution. We also consider processes where the drift is given in terms of the gradient of a potential.

Full work available at URL: https://arxiv.org/abs/0804.2029

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zbMATH Keywords

stationary distributiondistorted reflected Brownian motionReflecting Brownian motion

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Local time and additive functionals (60J55)

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Cited In (19)

• Characterization of stationary distributions of reflected diffusions
• The inert drift atlas model
• Processes with inert drift
• The competition number of a graph whose holes do not overlap much
• Gravitation versus Brownian motion
• Convergence of jump processes with stochastic intensity to Brownian motion with inert drift
• Brownian earthworm
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• Billiards with Markovian reflection laws
• Deterministic approximations of random reflectors
• Level set and drift estimation from a reflected Brownian motion with drift
• Hydrodynamic limit and propagation of chaos for Brownian particles reflecting from a Newtonian barrier
• On Some Diffusion Processes with Stationary Distributions
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• Inert drift system in a viscous fluid: steady state asymptotics and exponential ergodicity
• Spinning Brownian motion
• The stationary distribution of reflected Brownian motion in a planar region
• Stationary Distributions for Jump Processes with Inert Drift
• Stationary distributions and convergence for Walsh diffusions

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