A Classification of Diffusion Processes with Boundaries by their Invariant Measures
Pinsky, Ross
Ann. Probab., Tome 13 (1985) no. 4, p. 693-697 / Harvested from Project Euclid
Let $D$ be a connected, compact region in $R^d$. If $d = 1$, then for each nice probability measure $\mu$ on $D$ and diffusion coefficient $a$, there exists a unique drift such that $\mu$ is invariant for the resulting diffusion process with reflection at the boundary. For $d > 1$, there is no uniqueness. For each diffusion matrix $a$, reflection vector $J$, and nice probability measure $\mu$ on $D$, we classify the collection of drifts such that $\mu$ is invariant for the resulting diffusion process. We use the theory of the $I$-function and, in the course of things, answer a question about the $I$-function.
Publié le : 1985-08-14
Classification:  Diffusion processes with boundaries,  invariant measures,  drifts,  60J60
@article{1176992903,
     author = {Pinsky, Ross},
     title = {A Classification of Diffusion Processes with Boundaries by their Invariant Measures},
     journal = {Ann. Probab.},
     volume = {13},
     number = {4},
     year = {1985},
     pages = { 693-697},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176992903}
}
Pinsky, Ross. A Classification of Diffusion Processes with Boundaries by their Invariant Measures. Ann. Probab., Tome 13 (1985) no. 4, pp.  693-697. http://gdmltest.u-ga.fr/item/1176992903/