On a multidimentional Brownian motion with partly reflecting membrane on a hyperplane
Probability
2012-10-31 v1
Abstract
A multidimensional Brownian motion with partial reflection on a hyperplane in the direction , where is the conormal vector to the hyperplane and are given parametres, is constructed and this construction is based on both analytic and probabilistic approaches. The joint distribution of dimensional analogy to skew Brownian motion and its local time on the hyperplane is obtained.
Keywords
Cite
@article{arxiv.1210.8015,
title = {On a multidimentional Brownian motion with partly reflecting membrane on a hyperplane},
author = {L. L. Zaitseva},
journal= {arXiv preprint arXiv:1210.8015},
year = {2012}
}
Comments
5 pages