Reflected Brownian motion in generic triangles and wedges

Wouter Kager

Stochastic Processes and their Applications, 2007, vol. 117, issue 5, 539-549

Abstract: Consider a generic triangle in the upper half of the complex plane with one side on the real line. This paper presents a tailored construction of a discrete random walk whose continuum limit is a Brownian motion in the triangle, reflected instantaneously on the left and right sides with constant reflection angles. Starting from the top of the triangle, it is evident from the construction that the reflected Brownian motion lands with the uniform distribution on the base. This raises some questions on the possible distributions of hulls generated by local processes.

Keywords: Reflected; Brownian; motion; Locality; property (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (2)

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