Skip to main content
edited tags
Link
Mateusz Kwaśnicki
  • 17.2k
  • 1
  • 33
  • 55
added 5 characters in body
Source Link
alesia
  • 2.8k
  • 9
  • 21

Consider a Brownian motion $W$ reflected at the boundary of a domain $D$ in Euclidean space. I want to look at the process obtained by "restricting" it to the boundary.

I was thinking of taking the local time $L(t)$ at the boundary, and then defining my new process as $W(L(t))$$W(L^{-1}(t))$.

Is this the appropriate way to do it? Does it define a Markov process on the boundary? If so, what is known about this process for, say, a $d$-dimensional round ball (eg on its regularity/ size and frequency of jumps)?

Consider a Brownian motion $W$ reflected at the boundary of a domain $D$ in Euclidean space. I want to look at the process obtained by "restricting" it to the boundary.

I was thinking of taking the local time $L(t)$ at the boundary, and then defining my new process as $W(L(t))$.

Is this the appropriate way to do it? Does it define a Markov process on the boundary? If so, what is known about this process for, say, a $d$-dimensional round ball (eg on its regularity/ size and frequency of jumps)?

Consider a Brownian motion $W$ reflected at the boundary of a domain $D$ in Euclidean space. I want to look at the process obtained by "restricting" it to the boundary.

I was thinking of taking the local time $L(t)$ at the boundary, and then defining my new process as $W(L^{-1}(t))$.

Is this the appropriate way to do it? Does it define a Markov process on the boundary? If so, what is known about this process for, say, a $d$-dimensional round ball (eg on its regularity/ size and frequency of jumps)?

Source Link
alesia
  • 2.8k
  • 9
  • 21

"Return map" for Brownian motion

Consider a Brownian motion $W$ reflected at the boundary of a domain $D$ in Euclidean space. I want to look at the process obtained by "restricting" it to the boundary.

I was thinking of taking the local time $L(t)$ at the boundary, and then defining my new process as $W(L(t))$.

Is this the appropriate way to do it? Does it define a Markov process on the boundary? If so, what is known about this process for, say, a $d$-dimensional round ball (eg on its regularity/ size and frequency of jumps)?