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Zapiski Nauchnykh Seminarov POMI, 2019, Volume 486, Pages 158–177
(Mi znsl6886)
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Reflecting Brownian motion in $d$-ball
P. N. Ievlevab a St. Petersburg Department of Steklov Mathematical Institute of Russian Academy of Sciences
b Saint Petersburg State University
Abstract:
Following the works of I. A. Ibrahimov, N. V. Smorodina and M. M. Faddeev, we develop a new construction of the Brownian motion with reflection in $d$-ball. The main advantage of our new approach is that it allows one to construct reflecting Levy processes, whereas previous constructions are limited to diffusion processes. In our upcoming work we shall extend the results to the symmetric Levy processes in a smooth domain.
Key words and phrases:
Neumann problem, reflecting Brownian motion, Skorokhod problem, reflecting Levy processes, non-stationary Schrodinger equation.
Received: 06.11.2019
Citation:
P. N. Ievlev, “Reflecting Brownian motion in $d$-ball”, Probability and statistics. Part 28, Zap. Nauchn. Sem. POMI, 486, POMI, St. Petersburg, 2019, 158–177
Linking options:
https://www.mathnet.ru/eng/znsl6886 https://www.mathnet.ru/eng/znsl/v486/p158
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Statistics & downloads: |
Abstract page: | 196 | Full-text PDF : | 76 | References: | 42 |
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