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dc.contributor.authorBurdzy, Krzysztof
dc.contributor.authorChen, Zhen-Qing
dc.contributor.authorSylvester, John
dc.date.accessioned2005-10-14T23:06:02Z
dc.date.available2005-10-14T23:06:02Z
dc.date.issued2004-01
dc.identifier.citationThe Annals of Probability 32, 775-804en
dc.identifier.urihttp://hdl.handle.net/1773/2131
dc.description.abstractThe paper is concerned with reflecting Brownian motion (RBM) in domains with deterministic moving boundaries, also known as "non-cylindrical domains," and its connections with partial differential equations. Construction is given for reflecting Brownian motion in C3-smooth time-dependent domains in the n-dimensional Euclidean space Rn. Various sample path properties of RBM, its two-sided transition density functions estimate and the probabilistic representation of solutions for the corresponding partial differential equations are obtained. Furthermore, the onedimensional case is throughly studied, with the assumptions on the smoothness of the boundary drastically relaxed.en
dc.description.sponsorshipNational Science Foundation (NSF), National Security Agency (NSA), Office of Naval Research (ONR)en
dc.format.extent238712 bytes
dc.format.mimetypeapplication/pdf
dc.language.isoen_US
dc.publisherInstitute of Mathematical Statisticsen
dc.subjectReflecting Brownian motionen
dc.subjectTime-dependent domainen
dc.subjectLocal timeen
dc.subjectSkorohod decompositionen
dc.subjectHeat equation with boundary conditionsen
dc.subjectTime-inhomogeneous strong Markov processen
dc.subjectProbabilistic representationen
dc.subjectTime-reversalen
dc.subjectFeynman-Kac formulaen
dc.subjectGirsanov transformen
dc.titleThe Heat Equation and Reflected Brownian Motion in Time-Dependent Domainsen
dc.typeArticleen


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