Reflected Brownian motion in a cone: Semimartingale property

DOI10.1007/BF01375825zbMath0813.60073MaRDI QIDQ1346971

Youngmee Kwon

Publication date: 30 May 1995

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

zbMATH Keywords

semimartingalereflected Brownian motion

Mathematics Subject Classification ID

Queueing theory (aspects of probability theory) (60K25) Brownian motion (60J65) Martingales with continuous parameter (60G44) Diffusion processes (60J60)

Cites Work

• Random time changes and convergence in distribution under the Meyer-Zheng conditions
• Weak limit theorems for stochastic integrals and stochastic differential equations
• The submartingale problem for Brownian motion in a cone with non-constant oblique reflection
• Existence and uniqueness of semimartingale reflecting Brownian motions in an orthant
• Reflected brownian motion in a wedge: Semimartingale property
• Brownian motion in a wedge with oblique reflection
• Stochastic differential equations with reflecting boundary conditions
• Reflected Brownian Motion in a Cone with Radially Homogeneous Reflection Field
• Diffusion processes with boundary conditions
• Convergence of stochastic processes
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