The semimartingale structure of reflecting Brownian motion
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- by Richard F. Bass and Pei Hsu PDF
- Proc. Amer. Math. Soc. 108 (1990), 1007-1010 Request permission
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.References
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- P.-L. Lions and A.-S. Sznitman, Stochastic differential equations with reflecting boundary conditions, Comm. Pure Appl. Math. 37 (1984), no. 4, 511–537. MR 745330, DOI 10.1002/cpa.3160370408
- Hiroshi Tanaka, Stochastic differential equations with reflecting boundary condition in convex regions, Hiroshima Math. J. 9 (1979), no. 1, 163–177. MR 529332
Additional Information
- © Copyright 1990 American Mathematical Society
- Journal: Proc. Amer. Math. Soc. 108 (1990), 1007-1010
- MSC: Primary 60J65; Secondary 60J35
- DOI: https://doi.org/10.1090/S0002-9939-1990-1007487-8
- MathSciNet review: 1007487