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

• Autorzy: Lépingle D.
• Języki publikacji: EN

Abstrakty

EN

Stochastic variational inequalities provide a unified treatment for stochastic differential equations living in a closed domain with normal reflection and/or singular repellent drift. When the domain is a convex polyhedron, we prove that the reflected-repelled Brownian motion does not hit the non-smooth part of the boundary. A sufficient condition for nonhitting a face of the polyhedron is derived from the one-dimensional situation. A full answer to the question of attainability of the walls of the Weyl chamber may be given for a radial Dunkl process.

Słowa kluczowe

EN

multivalued stochastic differential equation; reflected Brownian motion; particle collision; Wishart process; radial Dunkl process; Weyl chamber

• Wydawca: Wrocław University of Science and Technology
• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 2010
• Tom: Vol. 30, Fasc. 2
• Strony: 273--287
• Opis fizyczny: Bibliogr. 31 poz., tab.

Twórcy

autor

Lépingle D.

• Université d’Orléans, MAPMO, CNRS, UMR 6628, Fédération Denis Poisson, FR 2924, B.P. 6759, 45067 ORLEANS Cedex 2

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