A Skorohod-Type Lemma and a Decomposition of Reflected Brownian Motion
Burdzy, Krzysztof ; Toby, Ellen
Ann. Probab., Tome 23 (1995) no. 3, p. 586-604 / Harvested from Project Euclid
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We consider two-dimensional reflected Brownian motions in sharp thorns pointed downward with horizontal vectors of reflection. We present a decomposition of the process into a Brownian motion and a process which has bounded variation away from the tip of the thorn. The construction is based on a new Skorohod-type lemma.
Publié le : 1995-04-14
Classification:  Brownian motion,  reflection,  diffusion,  Skorohod lemma,  60G17,  60J60,  60J65,  26A45 
@article{1176988280,
     author = {Burdzy, Krzysztof and Toby, Ellen},
     title = {A Skorohod-Type Lemma and a Decomposition of Reflected Brownian Motion},
     journal = {Ann. Probab.},
     volume = {23},
     number = {3},
     year = {1995},
     pages = { 586-604},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176988280}
}

Burdzy, Krzysztof; Toby, Ellen. A Skorohod-Type Lemma and a Decomposition of Reflected Brownian Motion. Ann. Probab., Tome 23 (1995) no. 3, pp.  586-604. http://gdmltest.u-ga.fr/item/1176988280/