Accession Number:
ADA159180
Title:
Hitting a Boundary Point by Diffusions in the Closed Half Space.
Descriptive Note:
Technical rept. 1 Sep 84-31 Aug 85,
Corporate Author:
NORTH CAROLINA UNIV AT CHAPEL HILL CENTER FOR STOCHASTIC PROCESSES
Personal Author(s):
Report Date:
1985-06-01
Pagination or Media Count:
17.0
Abstract:
It is known that a Brownian motion in the unit sphere, with normal reflection at the boundary, does not hit a specified point on the boundary. The aim of this article is to prove that a non-degenerate diffusion in the closed half space, with certain Wentzell-type boundary conditions, does not hit a point on the boundary specified in advanced. We also give an application to a boundary value problem. Additional keywords Stochastic differential equations Submartigales and Matricesmathe matics.
Descriptors:
Subject Categories:
- Statistics and Probability