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. We show uniqueness of the stationary distribution by using techniques based on excursions of X from ∂D, and an associated exit system. We also show that the process admits a submartingale formulation and use related results to show examples of the stationary distribution.
Original language | English |
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Pages (from-to) | 4178-4203 |
Number of pages | 26 |
Journal | Stochastic Processes and their Applications |
Volume | 125 |
Issue number | 11 |
DOIs | |
Publication status | Published - 1 Nov 2015 |
Keywords
- Degenerate reflected diffusion
- Excursion theory
- Stationary distribution
- Stochastic differential equations
ASJC Scopus subject areas
- Statistics and Probability
- Modelling and Simulation
- Applied Mathematics