The Annals of Probability

The heat equation and reflected Brownian motion in time-dependent domains

Krzysztof Burdzy, Zhen-Qing Chen, and John Sylvester

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Abstract

The paper is concerned with reflecting Brownian motion (RBM) in domains with deterministic moving boundaries, also known as "noncylindrical domains,'' and its connections with partial differential equations. Construction is given for RBM in $C^3$-smooth time-dependent domains in the n-dimensional Euclidean space $\R^n$. We present various sample path properties of the process, two-sided estimates for its transition density function, and a probabilistic representation of solutions to some partial differential equations. Furthermore, the one-dimensional case is thoroughly studied, with the assumptions on the smoothness of the boundary drastically relaxed.

Article information

Source
Ann. Probab., Volume 32, Number 1B (2004), 775-804.

Dates
First available in Project Euclid: 11 March 2004

Permanent link to this document
https://projecteuclid.org/euclid.aop/1079021464

Digital Object Identifier
doi:10.1214/aop/1079021464

Mathematical Reviews number (MathSciNet)
MR2039943

Zentralblatt MATH identifier
1046.60060

Subjects
Primary: 60H30: Applications of stochastic analysis (to PDE, etc.) 60J45: Probabilistic potential theory [See also 31Cxx, 31D05] 35K20: Initial-boundary value problems for second-order parabolic equations
Secondary: 60J50: Boundary theory 60J60: Diffusion processes [See also 58J65]

Keywords
Reflecting Brownian motion time-dependent domain local time Skorohod decomposition heat equation with boundary conditions time-inhomogeneous strong Markov process probabilistic representation time-reversal Feynman--Kac formula Girsanov transform

Citation

Burdzy, Krzysztof; Chen, Zhen-Qing; Sylvester, John. The heat equation and reflected Brownian motion in time-dependent domains. Ann. Probab. 32 (2004), no. 1B, 775--804. doi:10.1214/aop/1079021464. https://projecteuclid.org/euclid.aop/1079021464


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