Reflection between two conjugate diffusions

DOI10.1016/S1631-073X(02)02376-2MaRDI QIDQ1608754zbMATH OpenOpenAlexFDO

Authors Florin Soucaliuc

Publication date 14 October 2002

Published in Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s1631-073x(02)02376-2

zbMATH Keywords

conjugate diffusionconjugate processcontinuous barrier processreflecting Brownian motion

Mathematics Subject Classification ID

Diffusion processes (60J60)

Review text

The author has previously established that a Brownian motion reflected on another independent Brownian motion is again a Brownian motion. Here he presents a generalization if the process is a diffusion and the reflecting process is a continuous process independent of the diffusion and extends it if the process is a ``conjugate diffusion, in the sense of \textit{D. Siegmund} [Ann. Probab. 4, 914-926 (1976; Zbl 0364.60109)]. The precise conditions are too complicated to state here, and the reader is referred to the original paper for details.

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Cites work

• A new approach to the skorohod problem, and its applications
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Cited in

(10)

• Coupling of multidimensional diffusions by reflection
• A converse to a theorem of P. Lévy
• Time reversal and reflected diffusions
• A note on reflecting Brownian motions
• The adjoint process of reflected brownian motion in a cone
• Reflecting diffusions and hyperbolic Brownian motions in multidimensional spheres
• How does a reflected one-dimensional diffusion bounce back?
• scientific article; zbMATH DE number 140557 (Why is no real title available?)
• Excursions of diffusion processes and continued fractions
• On a generalized integral equation which originates from a problem in diffusion theory

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