The semimartingale structure of reflecting Brownian motion

Author:

Bass Richard F.,Hsu Pei

Abstract

We prove that reflecting Brownian motion on a bounded Lipschitz domain is a semimartingale. We also extend the well-known Skorokhod equation to this case.

Publisher

American Mathematical Society (AMS)

Subject

Applied Mathematics,General Mathematics

Reference6 articles.

1. Some potential theory for reflecting Brownian motion in Hölder and Lipschitz domains;Bass, Richard F.;Ann. Probab.,1991

2. A construction of reflecting barrier Brownian motions for bounded domains;Fukushima, Masatoshi;Osaka Math. J.,1967

3. \bysame, Dirichlet forms and Markov processes, North-Holland, Amsterdam, 1980.

4. P. Hsu, Reflecting Brownian motion, boundary local time, and the Neumann boundary value problem, Ph.D. dissertation, Stanford, 1984.

5. Stochastic differential equations with reflecting boundary conditions;Lions, P.-L.;Comm. Pure Appl. Math.,1984

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