Reflected Brownian Motion in Time Dependent Domains

Author(s):  
Krzysztof Burdzy
2004 ◽  
Vol 32 (1B) ◽  
pp. 775-804 ◽  
Author(s):  
John Sylvester ◽  
Zhen-Qing Chen ◽  
Krzysztof Burdzy

2003 ◽  
Vol 204 (1) ◽  
pp. 1-34 ◽  
Author(s):  
Krzysztof Burdzy ◽  
Zhen-Qing Chen ◽  
John Sylvester

2019 ◽  
Vol 20 (03) ◽  
pp. 2050015 ◽  
Author(s):  
Hua Zhang

In this paper, we prove a moderate deviation principle for the multivalued stochastic differential equations whose proof are based on recently well-developed weak convergence approach. As an application, we obtain the moderate deviation principle for reflected Brownian motion.


2020 ◽  
Vol 9 (1) ◽  
pp. 201-222 ◽  
Author(s):  
Usha Shankar ◽  
Neminath B. Naduvinamani ◽  
Hussain Basha

AbstractPresent research article reports the magnetized impacts of Cattaneo-Christov double diffusion models on heat and mass transfer behaviour of viscous incompressible, time-dependent, two-dimensional Casson nanofluid flow through the channel with Joule heating and viscous dissipation effects numerically. The classical transport models such as Fourier and Fick’s laws of heat and mass diffusions are generalized in terms of Cattaneo-Christov double diffusion models by accounting the thermal and concentration relaxation times. The present physical problem is examined in the presence of Lorentz forces to investigate the effects of magnetic field on double diffusion process along with Joule heating. The non-Newtonian Casson nanofluid flow between two parallel plates gives the system of time-dependent, highly nonlinear, coupled partial differential equations and is solved by utilizing RK-SM and bvp4c schemes. Present results show that, the temperature and concentration distributions are fewer in case of Cattaneo-Christov heat and mass flux models when compared to the Fourier’s and Fick’s laws of heat and mass diffusions. The concentration field is a diminishing function of thermophoresis parameter and it is an increasing function of Brownian motion parameter. Finally, an excellent comparison between the present solutions and previously published results show the accuracy of the results and methods used to achieve the objective of the present work.


1981 ◽  
Vol 41 (2) ◽  
pp. 345-361 ◽  
Author(s):  
J. Michael Harrison ◽  
Martin I. Reiman

1992 ◽  
Vol 29 (04) ◽  
pp. 996-1002 ◽  
Author(s):  
R. J. Williams

A direct derivation is given of a formula for the normalized asymptotic variance parameters of the boundary local times of reflected Brownian motion (with drift) on a compact interval. This formula was previously obtained by Berger and Whitt using an M/M/1/C queue approximation to the reflected Brownian motion. The bivariate Laplace transform of the hitting time of a level and the boundary local time up to that hitting time, for a one-dimensional reflected Brownian motion with drift, is obtained as part of the derivation.


2012 ◽  
Vol 49 (3) ◽  
pp. 883-887 ◽  
Author(s):  
Offer Kella

The goal is to identify the class of distributions to which the distribution of the maximum of a Lévy process with no negative jumps and negative mean (equivalently, the stationary distribution of the reflected process) belongs. An explicit new distributional identity is obtained for the case where the Lévy process is an independent sum of a Brownian motion and a general subordinator (nondecreasing Lévy process) in terms of a geometrically distributed sum of independent random variables. This generalizes both the distributional form of the standard Pollaczek-Khinchine formula for the stationary workload distribution in the M/G/1 queue and the exponential stationary distribution of a reflected Brownian motion.


2017 ◽  
Vol 45 (5) ◽  
pp. 2971-3037 ◽  
Author(s):  
Krzysztof Burdzy ◽  
Zhen-Qing Chen ◽  
Donald Marshall ◽  
Kavita Ramanan

1992 ◽  
Vol 120 (3-4) ◽  
pp. 267-282 ◽  
Author(s):  
Lieven Smits

SynopsisWe give an expression for the n-th moment of certain Itô integrals. The integrands considered are nonanticipating functionals of the form s↦a(s, Xs), where a is a measurable time-dependent vector field in space satisfying mild regularity conditions, and Xs is standard translated Brownian motion. The expressions are similar to the Dyson-Phillips terms for magnetic Schrödinger semigroups.We use these expressions to establish properties of the solutions of certain Cauchy problems and we relate our results to the framework of generalised Dyson expansions as set up by Johnson and Lapidus.


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