Reflected Brownian Motion with Drift in a Wedge
We study reflecting Brownian motion with drift constrained to a wedge in the plane. Our first set of results provide necessary and sufficient conditions for existence and uniqueness of a solution to the corresponding submartingale problem with drift, and show that its solution possesses the Markov a...
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Zusammenfassung: | We study reflecting Brownian motion with drift constrained to a wedge in the
plane. Our first set of results provide necessary and sufficient conditions for
existence and uniqueness of a solution to the corresponding submartingale
problem with drift, and show that its solution possesses the Markov and Feller
properties. Next, we study a version of the problem with absorption at the
vertex of the wedge. In this case, we provide a condition for existence and
uniqueness of a solution to the problem and some results on the probability of
the vertex being reached. |
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DOI: | 10.48550/arxiv.2204.10941 |