Brownian motion reflected on Brownian motion

被引：15
|
作者：
Burdzy, K
Nualart, D
机构：
[1] Univ Washington, Dept Math, Seattle, WA 98195 USA
[2] Univ Barcelona, Fac Math, E-08007 Barcelona, Spain
来源：
PROBABILITY THEORY AND RELATED FIELDS | 2002年 / 122卷 / 04期
关键词：
Brownian Motion; Local Time; Joint Distribution; Brownian Path; Parabolic Measure;
D O I：
10.1007/s004400100165
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We study Brownian motion reflected on art "independent" Brownian path, We prove results on the joint distribution of both processes and the support of the parabolic measure in the space-time domain bounded by a Brownian path. We show that there exist two different natural local times for a Brownian path reflected on a Brownian path.
引用
收藏
页码：471 / 493
页数：23
相关论文
共 50 条
  • [1] Brownian motion reflected on Brownian motion
    Krzysztof Burdzy
    David Nualart
    [J]. Probability Theory and Related Fields, 2002, 122 : 471 - 493
  • [2] Pathwise uniqueness for perturbed versions of Brownian motion and reflected Brownian motion
    Chaumont, L
    Doney, RA
    [J]. PROBABILITY THEORY AND RELATED FIELDS, 1999, 113 (04) : 519 - 534
  • [3] Pathwise uniqueness for perturbed versions of Brownian motion and reflected Brownian motion
    L. Chaumont
    R. A. Doney
    [J]. Probability Theory and Related Fields, 1999, 113 : 519 - 534
  • [4] Traps for reflected Brownian motion
    Krzysztof Burdzy
    Zhen-Qing Chen
    Donald E. Marshall
    [J]. Mathematische Zeitschrift, 2006, 252 : 103 - 132
  • [5] Traps for reflected Brownian motion
    Burdzy, K
    Chen, ZQ
    Marshall, DE
    [J]. MATHEMATISCHE ZEITSCHRIFT, 2006, 252 (01) : 103 - 132
  • [6] Discrete approximations to reflected Brownian motion
    Burdzy, Krzysztof
    Chen, Zhen-Qing
    [J]. ANNALS OF PROBABILITY, 2008, 36 (02): : 698 - 727
  • [7] Reflected Brownian motion with singular drift
    Wang, Chen
    Yang, Saisai
    Zhang, Tusheng
    [J]. BERNOULLI, 2021, 27 (02) : 866 - 898
  • [8] REFLECTED BROWNIAN-MOTION ON AN ORTHANT
    HARRISON, JM
    REIMAN, MI
    [J]. ANNALS OF PROBABILITY, 1981, 9 (02): : 302 - 308
  • [9] NMR survey of reflected Brownian motion
    Grebenkov, Denis S.
    [J]. REVIEWS OF MODERN PHYSICS, 2007, 79 (03) : 1077 - 1137
  • [10] Reflected Brownian motion with drift in a wedge
    Peter Lakner
    Ziran Liu
    Josh Reed
    [J]. Queueing Systems, 2023, 105 : 233 - 270
12345