The semimartingale structure of reflecting Brownian motion
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- by Richard F. Bass and Pei Hsu
- Proc. Amer. Math. Soc. 108 (1990), 1007-1010
- DOI: https://doi.org/10.1090/S0002-9939-1990-1007487-8
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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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- Hiroshi Tanaka, Stochastic differential equations with reflecting boundary condition in convex regions, Hiroshima Math. J. 9 (1979), no. 1, 163–177. MR 529332
Bibliographic 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