A SKOROHOD-TYPE LEMMA AND A DECOMPOSITION OF REFLECTED BROWNIAN-MOTION

• 成果类型: Article
• 署名作者: BURDZY, K; TOBY, E
• 署名单位: Texas A&M University System; Texas A&M University College Station
• 刊物名称: ANNALS OF PROBABILITY
• ISSN/ISSBN: 0091-1798
• DOI: 10.1214/aop/1176988280
• 发表日期: 1995
• 页码: 586-604
• 关键词: wedge; cusp

摘要

We consider two-dimensional reflected Brownian motions in sharp thorns pointed downward with horizontal vectors of reflection. We present a decomposition of the process into a Brownian motion and a process which has bounded variation away from the tip of the thorn. The construction is based on a new Skorohod-type lemma.