Related papers: Reflected Brownian Motion with Drift in a Wedge
We consider an outward degenerate drifted Brownian motion in the quarter plane with oblique reflections on the boundaries. In this article, we explicitly compute the Laplace transforms of the Green's functions associated with the process.…
The stationary reflected Brownian motion in a three-quarter plane has been rarely analyzed in the probabilistic literature, in comparison with the quarter plane analogue model. In this context, our main result is to prove that the…
Consider a generic triangle in the upper half of the complex plane with one side on the real line. This paper presents a tailored construction of a discrete random walk whose continuum limit is a Brownian motion in the triangle, reflected…
The trace of a Markov process is the time changed process of the original process on the support of the Revuz measure used in the time change. In this paper, we will concentrate on the reflecting Brownian motions on certain closed strips.…
We establish in this paper the existence of weak solutions of infinite-dimensional shift invariant stochastic differential equations driven by a Brownian term. The drift function is very general, in the sense that it is supposed to be…
We study a simple singular control problem for a Brownian motion with constant drift and variance reflected at the origin. Exerting control pushes the process towards the origin and generates a concave increasing state-dependent yield which…
We consider a transient Brownian motion reflected obliquely in a two-dimensional wedge. A precise asymptotic expansion of Green's functions is found in all directions. To this end, we first determine a kernel functional equation connecting…
Consider the motion of a Brownian particle in two or more dimensions, whose coordinate processes are standard Brownian motions with zero drift initially, and then at some random/unobservable time, one of the coordinate processes gets a…
We consider several critical wetting models. In the discrete case, these probability laws are known to converge, after an appropriate rescaling, to the law of a reflecting Brownian motion, or of the modulus of a Brownian bridge, according…
We consider a family of hard core objects moving as independent Brownian motions confined to a vessel by reflection. These are subject to gravitational forces modeled by drifts. The stationary distribution for the process has many…
Two frameworks that have been used to characterize reflected diffusions include stochastic differential equations with reflection and the so-called submartingale problem. We introduce a general formulation of the submartingale problem for…
We obtain well-posedness results for a class of ODE with a singular drift and additive fractional noise, whose right-hand-side involves some bounded variation terms depending on the solution. Examples of such equations are reflected…
In this paper we study the drifted Brownian meander, that is a Brownian motion starting from $ u $ and subject to the condition that $ \min_{ 0\leq z \leq t} B(z)> v $ with $ u > v $. The limiting process for $ u \downarrow v $ is analyzed…
We prove existence and uniqueness for semimartingale reflecting diffusions in 2-dimensional piecewise smooth domains with varying, oblique directions of reflection on each "side", under geometric, easily verifiable conditions. Our…
We prove strong existence and uniqueness for a reflection process $X$ in a smooth, bounded domain $D$ that behaves like obliquely-reflected-Brownian-motion, except that the direction of reflection depends on a (spin) parameter $S$, which…
We provide a new, concise proof of weak existence and uniqueness of solutions to the stochastic differential equation for the multidimensional skew Brownian motion. We also present an application to Brownian particles with skew-elastic…
We construct obliquely reflected Brownian motions in all bounded simply connected planar domains, including non-smooth domains, with general reflection vector fields on the boundary. Conformal mappings and excursion theory are our main…
For refracted skew Brownian motion (skew Brownian motion with two-valued drift), adopting a perturbation approach we find expressions of its potential densities. As applications, we recover its transition density and study its long-time…
Consider the motion of a Brownian particle in three dimensions, whose two spatial coordinates are standard Brownian motions with zero drift, and the remaining (unknown) spatial coordinate is a standard Brownian motion with a non-zero drift.…
We consider a Brownian motion with drift in the quarter plane with orthogonal reflection on the axes. The Laplace transform of its stationary distribution satisfies a functional equation, which is reminiscent from equations arising in the…