Boundary behavior of a constrained Brownian motion between reflecting-repellent walls

  1. Dominique Lépingle


Stochastic variational inequalities provide a unified treatment for stochastic differential equations living in a closed domain with normal reflection and/or singular repellent drift. When the domain is a convex polyhedron, we prove that the reflected-repelled Brownian motion does not hit the non-smooth part of the boundary. A sufficient condition for nonhitting a face of the polyhedron is derived from the one-dimensional situation. A full answer to the question of attainability of the walls of the Weyl chamber may be given for a radial Dunkl process.
2000 AMS Mathematics Subject Classification: Primary: 60G17; Secondary: 60H10.

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Probability and Mathematical Statistics

30, z. 2, 2010

Pages from 273 to 287

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