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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 SS in the direction qN+αqN+\alpha , where NN is the conormal vector to the hyperplane and q[1,1],αSq\in [-1,1], \alpha \in S are given parametres, is constructed and this construction is based on both analytic and probabilistic approaches. The joint distribution of dd-dimensional analogy to skew Brownian motion and its local time on the hyperplane is obtained.

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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}
}

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5 pages