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

Authors
BURDZY K TOBY E
Citation
K. Burdzy et E. Toby, A SKOROHOD-TYPE LEMMA AND A DECOMPOSITION OF REFLECTED BROWNIAN-MOTION, Annals of probability, 23(2), 1995, pp. 586-604
Citations number
12
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
Annals of probability → ACNP
ISSN journal
00911798
Volume
23
Issue
2
Year of publication
1995
Pages
586 - 604
Database
ISI
SICI code
0091-1798(1995)23:2<586:ASLAAD>2.0.ZU;2-C
Abstract
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 whic h has bounded variation away from the tip of the thorn. The constructi on is based on a new Skorohod-type lemma.