Reflected Brownian Motion with Drift in a Wedge
Probability
2022-04-26 v1
Abstract
We study reflecting Brownian motion with drift constrained to a wedge in the plane. Our first set of results provide necessary and sufficient conditions for existence and uniqueness of a solution to the corresponding submartingale problem with drift, and show that its solution possesses the Markov and Feller properties. Next, we study a version of the problem with absorption at the vertex of the wedge. In this case, we provide a condition for existence and uniqueness of a solution to the problem and some results on the probability of the vertex being reached.
Keywords
Cite
@article{arxiv.2204.10941,
title = {Reflected Brownian Motion with Drift in a Wedge},
author = {Peter Lakner and Ziran Liu and Josh Reed},
journal= {arXiv preprint arXiv:2204.10941},
year = {2022}
}
Comments
27 pages