Reflected Brownian motion: selection, approximation and linearization

DOI10.1214/17-EJP41zbMath1361.60071arXiv1602.00897OpenAlexW2271975648MaRDI QIDQ519720

Marc Arnaudon, Xue-Mei Li

Publication date: 5 April 2017

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1602.00897

zbMATH Keywords

heat equationstochastic differential equationslocal timestochastic flowboundaryreflected Brownian motion

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Heat equation (35K05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Local time and additive functionals (60J55)

Related Items (6)

Brenier–Schrödinger problem on compact manifolds with boundary ⋮ Heat conservation for generalized Dirac Laplacians on manifolds with boundary ⋮ Couplings of Brownian motions with set-valued dual processes on Riemannian manifolds ⋮ Bismut-Elworthy-Li Formulae for Bessel Processes ⋮ Functional inequalities on manifolds with non-convex boundary ⋮ Heat flow regularity, Bismut-Elworthy-Li's derivative formula, and pathwise couplings on Riemannian manifolds with Kato bounded Ricci curvature

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