Boundary behavior of a constrained Brownian motion between reflecting-repellent walls

zbMath1225.60060arXiv0910.1820MaRDI QIDQ3003682

Dominique Lépingle

Publication date: 30 May 2011

Full work available at URL: https://arxiv.org/abs/0910.1820

zbMATH Keywords

reflected Brownian motionWishart processesWeyl chambersparticle collisionsmultivalued stochastic differential equationsDunkl processes

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Sample path properties (60G17)

Related Items (3)

Strong solutions to a beta-Wishart particle system ⋮ Semi-implicit Euler-Maruyama approximation for noncolliding particle systems ⋮ Semi-implicit Milstein approximation scheme for non-colliding particle systems

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