On the semimartingale representation of reflecting Brownian motion in a cusp

R. Dante DeBlassie; Ellen H. Toby

doi:10.1007/bf01192561

On the semimartingale representation of reflecting Brownian motion in a cusp

Probability Theory and Related Fields ◽

10.1007/bf01192561 ◽

1993 ◽

Vol 94 (4) ◽

pp. 505-524 ◽

Cited By ~ 3

Author(s):

R. Dante DeBlassie ◽

Ellen H. Toby

Keyword(s):

Brownian Motion ◽

Reflecting Brownian Motion ◽

Semimartingale Representation

The semimartingale structure of reflecting Brownian motion

Proceedings of the American Mathematical Society ◽

10.1090/s0002-9939-1990-1007487-8 ◽

1990 ◽

Vol 108 (4) ◽

pp. 1007-1007 ◽

Cited By ~ 23

Author(s):

Richard F. Bass ◽

Pei Hsu

Keyword(s):

Brownian Motion ◽

Reflecting Brownian Motion

On Some Connections between Potential Theory and Excursions of Reflecting Brownian Motion

Mathematische Nachrichten ◽

10.1002/mana.19981930108 ◽

1998 ◽

Vol 193 (1) ◽

pp. 75-91

Author(s):

Reinhard Lang

Keyword(s):

Brownian Motion ◽

Potential Theory ◽

Reflecting Brownian Motion

Simultaneous boundary hitting for a two point reflecting Brownian motion

Lecture Notes in Mathematics - Séminaire de Probabilités XXIII ◽

10.1007/bfb0083975 ◽

1989 ◽

pp. 234-238

Author(s):

M. Cranston ◽

Y. Le Jan

Keyword(s):

Brownian Motion ◽

Reflecting Brownian Motion

Some remarks on perturbed reflecting Brownian motion

Lecture Notes in Mathematics - Séminaire de Probabilités XXIX ◽

10.1007/bfb0094198 ◽

1995 ◽

pp. 37-43 ◽

Cited By ~ 5

Author(s):

Wendelin Werner

Keyword(s):

Brownian Motion ◽

Reflecting Brownian Motion

A confidence interval for Monte Carlo methods with an application to simulation of obliquely reflecting Brownian motion

Stochastic Processes and their Applications ◽

10.1016/0304-4149(88)90038-5 ◽

1988 ◽

Vol 29 (2) ◽

pp. 209-222 ◽

Cited By ~ 2

Author(s):

Antonella Calzolari ◽

Cristina Costantini ◽

Federico Marchetti

Keyword(s):

Monte Carlo ◽

Brownian Motion ◽

Confidence Interval ◽

Monte Carlo Methods ◽

Reflecting Brownian Motion

On the Symmetry of a Reflecting Brownian Motion Defined by Skorohod's Equation for a Multi-Dimensional Domain

Tokyo Journal of Mathematics ◽

10.3836/tjm/1270134524 ◽

1987 ◽

Vol 10 (2) ◽

pp. 419-435 ◽

Cited By ~ 11

Author(s):

Yasumasa SAISHO ◽

Hiroshi TANAKA

Keyword(s):

Brownian Motion ◽

Reflecting Brownian Motion ◽

Dimensional Domain

On hitting times of affine boundaries by reflecting Brownian motion and Bessel processes

Periodica Mathematica Hungarica ◽

10.1007/s10998-011-5075-2 ◽

2011 ◽

Vol 62 (1) ◽

pp. 75-101 ◽

Cited By ~ 6

Author(s):

Paavo Salminen ◽

Marc Yor

Keyword(s):

Brownian Motion ◽

Hitting Times ◽

Bessel Processes ◽

Reflecting Brownian Motion

Positive recurrence of reflecting Brownian motion in three dimensions

The Annals of Applied Probability ◽

10.1214/09-aap631 ◽

2010 ◽

Vol 20 (2) ◽

pp. 753-783 ◽

Cited By ~ 16

Author(s):

Maury Bramson ◽

J. G. Dai ◽

J. M. Harrison

Keyword(s):

Brownian Motion ◽

Three Dimensions ◽

Reflecting Brownian Motion ◽

Positive Recurrence

Uniqueness for reflecting Brownian motion in lip domains☆

Annales de l Institut Henri Poincaré Probabilités et Statistiques ◽

10.1016/j.anihpb.2004.06.001 ◽

2005 ◽

Vol 41 (2) ◽

pp. 197-235 ◽

Cited By ~ 16

Author(s):

R BASS ◽

K BURDZY ◽

Z CHEN

Keyword(s):

Brownian Motion ◽

Reflecting Brownian Motion

Brownian local times

Journal of Applied Mathematics and Stochastic Analysis ◽

10.1155/s1048953395000207 ◽

1995 ◽

Vol 8 (3) ◽

pp. 209-232 ◽

Cited By ~ 10

Author(s):

Lajos Takács

Keyword(s):

Brownian Motion ◽

Brownian Bridge ◽

Distribution Functions ◽

Local Times ◽

Explicit Formulas ◽

Brownian Excursion ◽

Reflecting Brownian Motion ◽

Brownian Meander

In this paper explicit formulas are given for the distribution functions and the moments of the local times of the Brownian motion, the reflecting Brownian motion, the Brownian meander, the Brownian bridge, the reflecting Brownian bridge and the Brownian excursion.