A Skorobod-type lemma and a decomposition of reflected Brownian motion
| dc.contributor.author | Burdzy, Krzysztof | |
| dc.contributor.author | Toby, Ellen H. | |
| dc.date.accessioned | 2005-11-28T16:55:13Z | |
| dc.date.available | 2005-11-28T16:55:13Z | |
| dc.date.issued | 1995-04 | |
| dc.description.abstract | 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. | en |
| dc.description.sponsorship | Research supported in part by NSF grant DMS 91-00244 and AMS Centennial Research Fellowship. | en |
| dc.format.extent | 203501 bytes | |
| dc.format.mimetype | application/pdf | |
| dc.identifier.citation | Burdzy, K. & E.H. Toby. (1995). A Skorobod-type lemma and a decomposition of reflected Brownian motion. Annals of Probability, 23(2), 586-604. | en |
| dc.identifier.uri | http://hdl.handle.net/1773/2183 | |
| dc.language.iso | en_US | |
| dc.publisher | Institute of Mathematical Statistics | en |
| dc.subject | Brownian motion | en |
| dc.subject | reflection | en |
| dc.subject | diffusion | en |
| dc.subject | Skorohod Lemma | en |
| dc.title | A Skorobod-type lemma and a decomposition of reflected Brownian motion | en |
| dc.type | Article | en |