Boundary behavior of a constrained Brownian motion between reflecting-repellent walls
Probability
2011-01-04 v1
Abstract
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 polyhedron, we prove that the reflected-repelled Brownian motion does not hit the non-smooth part of the boundary. A sufficient condition for non-hitting a face of the polyhedron is derived from the one-dimensional case. A complete answer to the question of attainability of the walls of the Weyl chamber may be given for a radial Dunkl process.
Keywords
Cite
@article{arxiv.0910.1820,
title = {Boundary behavior of a constrained Brownian motion between reflecting-repellent walls},
author = {Dominique Lépingle},
journal= {arXiv preprint arXiv:0910.1820},
year = {2011}
}