Explicit semimartingale representation of Brownian motion in a wedge
type: Item
instance of: scholarly article
title: Explicit semimartingale representation of Brownian motion in a wedge
zbMATH Open document ID: 0694.60076
DOI: 10.1016/0304-4149(90)90057-Y
published in: Stochastic Processes and their Applications
publication date: 1990-01-01T00:00:00Z
review text: \textit{R. J. Williams} [Z. Wahrscheinlichkeitstheor. Verw. Geb. 69, 161-176 (1985; Zbl 0535.60042)] showed that the reflected Brownian motion in a wedge with constant direction of reflection is a semimartingale. The author identifies the martingale part as the Brownian motion. He then describes the behaviour of the finite variation part and in doing so he verifies in the affirmative a conjecture of Williams.
Mathematics Subject Classification ID: 60J65
zbMATH DE Number: 4137146
zbMATH Keywords: reflected Brownian motion
zbMATH Keywords: constant direction of reflection
author: Richard Dante DeBlassie
reviewed by: Murali Rao
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 4137146