N ov 2 00 7 Skorohod - reflection of Brownian Paths and BES 3
نویسنده
چکیده
Let B(t), X(t) and Y (t) be independent standard 1d Borwnian motions. Define X + (t) and Y − (t) as the trajectories of the processes X(t) and Y (t) pushed upwards and, respectively, downwards by B(t), according to Skorohod-reflection. In the recent paper [8], Jon Warren proves inter alia that Z(t) := X + (t)−Y − (t) is a three-dimensional Bessel-process. In this note, we present an alternative, elementary proof of this fact.
منابع مشابه
A Skorohod-type Lemma and a Decomposition of Reflected Brownian Motion Krzysztof Burdzy
We consider 2-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.
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تاریخ انتشار 2007