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

Abstract : 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 polyhedron, we prove that the reflected-repelled Brownian motion does not hit the non-smooth part of the boundary. A sufficient condition for non-hitting a face of the polyhedron is derived from the one-dimensional case. A complete answer to the question of attainability of the walls of the Weyl chamber may be given for a radial Dunkl process.
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https://hal.archives-ouvertes.fr/hal-00423421
Contributor : Dominique Lepingle <>
Submitted on : Friday, October 9, 2009 - 5:53:41 PM
Last modification on : Thursday, May 3, 2018 - 3:32:06 PM
Document(s) archivé(s) le : Wednesday, June 16, 2010 - 12:35:55 AM

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  • HAL Id : hal-00423421, version 1
  • ARXIV : 0910.1820

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Dominique Lépingle. Boundary behavior of a constrained Brownian motion between reflecting-repellent walls. Probability and Mathematical Statistics, 2010, 30 (2), pp.273-287. ⟨hal-00423421⟩

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