Stationary distributions for diffusions with inert drift

DOI10.1007/S00440-008-0182-6MaRDI QIDQ843701zbMATH OpenOpenAlexWikidataFDO

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)

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

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)

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.

Recommendations

• The stationary distribution of reflected Brownian motion in a planar region
• Characterization of stationary distributions of reflected diffusions
• The competition number of a graph whose holes do not overlap much
• On reflecting Brownian motion - a weak convergence approach
• Reflected (degenerate) diffusions and stationary measures

Cites work

• scientific article; zbMATH DE number 3951715 (Why is no real title available?)
• scientific article; zbMATH DE number 3969124 (Why is no real title available?)
• scientific article; zbMATH DE number 3780265 (Why is no real title available?)
• scientific article; zbMATH DE number 44933 (Why is no real title available?)
• scientific article; zbMATH DE number 1245556 (Why is no real title available?)
• scientific article; zbMATH DE number 567511 (Why is no real title available?)
• scientific article; zbMATH DE number 785439 (Why is no real title available?)
• scientific article; zbMATH DE number 3892344 (Why is no real title available?)
• scientific article; zbMATH DE number 3403582 (Why is no real title available?)
• A Gaussian oscillator
• A survey of random processes with reinforcement
• Absolute continuity of symmetric Markov processes.
• Dirichlet forms and symmetric Markov processes
• Ergodicity for Infinite Dimensional Systems
• Ergodicity of Langevin Processes with Degenerate Diffusion in Momentums
• Ergodicity of the 2D Navier-Stokes equations with degenerate stochastic forcing
• Exit systems
• Markov chains and stochastic stability
• On Excursions of Reflecting Brownian Motion
• On reflecting Brownian motion - a weak convergence approach
• On reflecting diffusion processes and Skorokhod decompositions
• On the path of an inert object impinged on one side by a Brownian particle
• Pathwise uniqueness for a degenerate stochastic differential equation
• Processes with inert drift
• SDEs with oblique reflection on nonsmooth domains
• SDEs with oblique reflections on nonsmooth domains
• Self-interacting diffusions.
• Self-interacting diffusions. II: Convergence in law.
• Self-interacting diffusions. III: Symmetric interactions
• Stochastic differential equations with reflecting boundary conditions
• Symmetric reflected diffusions
• Uniqueness for reflecting Brownian motion in Lip domains
• Weak limit theorems for stochastic integrals and stochastic differential equations

Cited in

(19)

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

This page was built for publication: Stationary distributions for diffusions with inert drift

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q843701)