Explicit semimartingale representation of Brownian motion in a wedge

DOI10.1016/0304-4149(90)90057-YzbMath0694.60076MaRDI QIDQ909356

Richard Dante DeBlassie

Publication date: 1990

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

reflected Brownian motionconstant direction of reflection

Mathematics Subject Classification ID

Brownian motion (60J65)

Related Items (6)

On the semimartingale representation of reflecting Brownian motion in a cusp ⋮ Brownian motion in a wedge with variable reflection: Existence and uniqueness ⋮ Reflecting Brownian Motion in a Cusp ⋮ Brownian Motion in a Wedge with Variable Skew Reflection ⋮ Uniqueness for diffusions degenerating at the boundary of a smooth bounded set ⋮ Hitting time of a corner for a reflected diffusion in the square

Cites Work

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• Reflected Brownian motion on an orthant
• On one-dimensional stochastic differential equations with non-sticky boundary conditions
• A boundary property of semimartingale reflecting Brownian motions
• Reflected brownian motion in a wedge: Semimartingale property
• Brownian motion in a wedge with oblique reflection
• Brownian models of open queueing networks with homogeneous customer populations^∗

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