Spinning Brownian motion
Probability
2015-06-10 v4
Abstract
We prove strong existence and uniqueness for a reflection process in a smooth, bounded domain that behaves like obliquely-reflected-Brownian-motion, except that the direction of reflection depends on a (spin) parameter , which only changes when is on the boundary of according to a physical rule. The process is a degenerate diffusion. We show uniqueness of the stationary distribution by using techniques based on excursions of from , and an associated exit system. We also show that the process admits a submartingale formulation and use related results to show examples of the stationary distribution.
Cite
@article{arxiv.1209.0440,
title = {Spinning Brownian motion},
author = {Mauricio A. Duarte},
journal= {arXiv preprint arXiv:1209.0440},
year = {2015}
}
Comments
To appear in Stochastic Processes and Applications. arXiv admin note: text overlap with arXiv:0804.2029 by other authors