Reflected Brownian Motion in a Cone with Radially Homogeneous Reflection Field

DOI10.2307/2001821zbMath0742.60075OpenAlexW4233456690MaRDI QIDQ3982158

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Publication date: 26 June 1992

Full work available at URL: https://doi.org/10.2307/2001821

zbMATH Keywords

diffusionreflectionBrownian motionabsorptionelliptic partial differential equationsubmartingale problemstrong Markov processoccupation and hitting times

Mathematics Subject Classification ID

Brownian motion (60J65) Diffusion processes (60J60) Sample path properties (60G17) PDEs with low regular coefficients and/or low regular data (35R05) Laplace operator, Helmholtz equation (reduced wave equation), Poisson equation (35J05) Diffusion processes and stochastic analysis on manifolds (58J65)

Related Items (10)

Existence and uniqueness of semimartingale reflecting Brownian motions in an orthant ⋮ Reflected Brownian motion in Lipschitz domains with oblique reflection ⋮ Reflected Brownian motion in a cone: Semimartingale property ⋮ On the limit behavior of a sequence of Markov processes perturbed in a neighborhood of the singular point ⋮ Brownian motion in a wedge with variable reflection: Existence and uniqueness ⋮ Localization for constrained martingale problems and optimal conditions for uniqueness of reflecting diffusions in 2-dimensional domains ⋮ The submartingale problem for Brownian motion in a cone with non-constant oblique reflection ⋮ Markov selection for constrained martingale problems ⋮ Hitting time of a corner for a reflected diffusion in the square ⋮ The adjoint process of killed reflected Brownian motion in a cone and applications

Cites Work

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• Mouvement brownien, cônes et processus stables. (Brownian motion, cones and stable processes)
• Exit times of Brownian motion, harmonic majorization, and Hardy spaces
• Estimates of harmonic measure
• Uniqueness for diffusions with piecewise constant coefficients
• Bifurcation, perturbation of simple eigenvalues, and linearized stability
• Brownian motion in a wedge with oblique reflection
• Stochastic differential equations with reflecting boundary conditions
• A new proof of de Giorgi's theorem concerning the regularity problem for elliptic differential equations
• On the spectrum of general second order operators
• Diffusion processes with boundary conditions

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