On a Brownian motion conditioned to stay in an open set
Анотація
UDC 519.21 Distribution of a Brownian motion conditioned to start from the boundary of an open set and to stay in for a finite period of time is studied. Characterizations of such distributions in terms of certain singular stochastic differential equations are obtained. Results are applied to the study of boundaries of clusters in some coalescing stochastic flows on
Класифікація
Ідентифікатори
Рецензії (0)
Написати рецензіюРецензій ще немає. Будьте першим!
Схожі роботи
Construction and heat kernel estimates of generalstable-like Markov processes
Схоже за: Mathematical Dynamics and Fractals · Stochastic processes and financial applications · Stochastic processes and statistical mechanics
Properties of maximum likelihood estimates in diffusion and fractional-Brownian models
Схоже за: Mathematical Dynamics and Fractals · Stochastic processes and financial applications · Stochastic processes and statistical mechanics
Green measures for Markov processes
Схоже за: Mathematical Dynamics and Fractals · Stochastic processes and financial applications · Stochastic processes and statistical mechanics
Averaging in the Control Problem for the Diffusion Transfer Process with Semi-Markov Switching
Схоже за: Mathematical Dynamics and Fractals · Stochastic processes and financial applications · Stochastic processes and statistical mechanics
Asymptotic Behaviour of the Distribution Density of the Fractional Lévy Motion
Схоже за: Mathematical Dynamics and Fractals · Stochastic processes and financial applications · Stochastic processes and statistical mechanics
Parametrix construction for certain Lévy-type processes
Схоже за: Mathematical Dynamics and Fractals · Stochastic processes and financial applications · Stochastic processes and statistical mechanics