Noncoalescence for the Skorohod equation in a convex domain of R^ 2

DOI10.1007/BF01198431MaRDI QIDQ910102zbMATH OpenFDO

Authors Yves Le Jan, Michael Craig Cranston

Publication date 1990

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

Full work available at URL https://doi.org/10.1007/BF01198431

zbMATH Keywords

local timereflected Brownian motionSkorokhod equationstime change

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Review text

Given a convex domain of \({\mathbb{R}}^ 2\), we show that a.s. the paths of two solutions of the Skorokhod equations driven by the same Brownian motion but starting at different points do not meet at the same time.

Recommendations

• Pathwise uniqueness for reflecting Brownian motion in Euclidean domains
• Skorohod problems with nonsmooth boundary conditions
• Uniqueness for the Skorokhod equation with normal reflection in Lipschitz domains
• On the noncoalescence of a two point Brownian motion reflecting on a circle
• scientific article; zbMATH DE number 18218

Cites work

• On the noncoalescence of a two point Brownian motion reflecting on a circle
• Small Random perturbation of dynamical systems with reflecting boundary
• Stochastic differential equations with reflecting boundary condition in convex regions
• Stochastic differential equations with reflecting boundary conditions
• Support d'un processus de r�flexion

Cited in

(13)

• Pathwise uniqueness for a SDE with non-Lipschitz coefficients.
• Path collapse for multidimensional Brownian motion with rebirth
• On the noncoalescence of a two point Brownian motion reflecting on a circle
• Integration of Brownian vector fields.
• Efficient Markovian couplings: Examples and counterexamples.
• Multiplicative functional for reflected Brownian motion via deterministic ODE
• Brownian earthworm
• Spatial coupling of neutral measure-valued population models
• A stochastic target approach to Ricci flow on surfaces
• Asymptotic irrelevance of initial conditions for Skorohod reflection mapping on the nonnegative orthant
• Reflection couplings and contraction rates for diffusions
• Flows generated by stochastic equations with reflection
• Efficient Markovian couplings: Examples and counterexamples

This page was built for publication: Noncoalescence for the Skorohod equation in a convex domain of \({\mathbb{R}}^ 2\)

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q910102)