Explicit semimartingale representation of Brownian motion in a wedge (Q909356)
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scientific article; zbMATH DE number 4137146
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Explicit semimartingale representation of Brownian motion in a wedge |
scientific article; zbMATH DE number 4137146 |
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Explicit semimartingale representation of Brownian motion in a wedge (English)
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1990
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\textit{R. J. Williams} [Z. Wahrscheinlichkeitstheor. Verw. Geb. 69, 161-176 (1985; Zbl 0535.60042)] showed that the reflected Brownian motion in a wedge with constant direction of reflection is a semimartingale. The author identifies the martingale part as the Brownian motion. He then describes the behaviour of the finite variation part and in doing so he verifies in the affirmative a conjecture of Williams.
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reflected Brownian motion
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constant direction of reflection
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0.92129195
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0.8895935
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0.8892426
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0.88101375
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