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A Skorobod-type lemma and a decomposition of reflected Brownian motion
(Institute of Mathematical Statistics, 1995-04)
We consider two-dimensional reflected Brownian motions in sharp thorns pointed downward with horizontal vectors of reflection. We present a decomposition of the process into a Brownian motion and a process which has bounded variation away from the tip of the thorn. The construction is based on a new Skorohod-type lemma.