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.

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE