Weak convergence of obliquely reflected diffusions

DOI10.1214/17-AIHP843MaRDI QIDQ1621707zbMATH OpenFDO

Authors Andrey Sarantsev

Publication date 9 November 2018

Published in Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1509.01778, https://projecteuclid.org/euclid.aihp/1531296024

zbMATH Keywords

Hausdorff convergenceoblique reflectionreflected diffusionsweak convergenceWijsman convergence

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Local time and additive functionals (60J55) Diffusion processes (60J60) Brownian motion (60J65)

Abstract: Burdzy and Chen (1998) proved results on weak convergence of multidimensional normally reflected Brownian motions. We generalize their work by considering obliquely reflected diffusion processes. We require weak convergence of domains, which is stronger than convergence in Wijsman topology, but weaker than convergence in Hausdorff topology.

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Cited in

(5)

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