|
Teoriya Veroyatnostei i ee Primeneniya, 1972, Volume 17, Issue 3, Pages 557–563
(Mi tvp2668)
|
|
|
|
Short Communications
On conditional brownian motions with oblique reflection, which correspond to inaccessible singular points
A. L. Rozental' Moscow
Abstract:
Let $D$ be a two-dimensional domain bounded by a smooth contour $L$, $v(z)$ be a vector field at points of $L$ directed inward $D$, $\Delta$ be a finite set of discontinuity points of $v(z)$ and $X$ be a Brownian motion in $D$ with reflection away from $L\setminus\Delta$ in the direction of $v(z)$. We construct subprocesses of $X$ corresponding to inaccessible points of $\Delta$ and investigate the behaviour of their trajectories. This construction enables us to investigate the boundary value problem:
$$
\frac{\partial^2h}{\partial x^2}+\frac{\partial^2h}{\partial y^2}=0,\quad\frac{\partial h}{\partial v}\bigg|_{L\setminus\Delta}=0
$$
and prove that each non-negative solution of this problem may be uniquely represented in the form ($*$).
Received: 29.10.1970
Citation:
A. L. Rozental', “On conditional brownian motions with oblique reflection, which correspond to inaccessible singular points”, Teor. Veroyatnost. i Primenen., 17:3 (1972), 557–563; Theory Probab. Appl., 17:3 (1973), 528–535
Linking options:
https://www.mathnet.ru/eng/tvp2668 https://www.mathnet.ru/eng/tvp/v17/i3/p557
|
Statistics & downloads: |
Abstract page: | 150 | Full-text PDF : | 67 |
|