On pathwise uniqueness for reflecting Brownian motion in C1+γ domains

Richard F. Bass; Krzysztof Burdzy

doi:10.1214/08-AOP390

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Home > Journals > Ann. Probab. > Volume 36 > Issue 6 > Article

November 2008 On pathwise uniqueness for reflecting Brownian motion in C^1+γ domains

Richard F. Bass, Krzysztof Burdzy

Ann. Probab. 36(6): 2311-2331 (November 2008). DOI: 10.1214/08-AOP390

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Abstract

Pathwise uniqueness holds for the Skorokhod stochastic differential equation in C^1+γ domains in ℝ^d for γ>1/2 and d≥3.

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Richard F. Bass. Krzysztof Burdzy. "On pathwise uniqueness for reflecting Brownian motion in C^1+γ domains." Ann. Probab. 36 (6) 2311 - 2331, November 2008. https://doi.org/10.1214/08-AOP390

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Published: November 2008

First available in Project Euclid: 19 December 2008

MathSciNet: MR2478684

Digital Object Identifier: 10.1214/08-AOP390

Subjects:

Primary: 60J65

Secondary: 60H10

Keywords: Harmonic functions , Local time , Pathwise uniqueness , Reflecting Brownian motion , strong solutions

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Ann. Probab.

Vol.36 • No. 6 • November 2008

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Richard F. Bass, Krzysztof Burdzy "On pathwise uniqueness for reflecting Brownian motion in C^1+γ domains," The Annals of Probability, Ann. Probab. 36(6), 2311-2331, (November 2008)

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