Spinning Brownian motion

Mauricio A. Duarte

Stochastic Processes and their Applications, 2015, vol. 125, issue 11, 4178-4203

Abstract: We prove strong existence and uniqueness for a reflection process X in a smooth, bounded domain D that behaves like obliquely-reflected-Brownian-motion, except that the direction of reflection depends on a (spin) parameter S, which only changes when X is on the boundary of D according to a physical rule. The process (X,S) is a degenerate diffusion.

Keywords: Stationary distribution; Stochastic differential equations; Excursion theory; Degenerate reflected diffusion (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1016/j.spa.2015.06.005

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