Pathwise uniqueness for perturbed versions of Brownian motion and reflected Brownian motion

Citation
L. Chaumont et Ra. Doney, Pathwise uniqueness for perturbed versions of Brownian motion and reflected Brownian motion, PROB TH REL, 113(4), 1999, pp. 519-534
Citations number
12
Categorie Soggetti
Mathematics
Journal title
PROBABILITY THEORY AND RELATED FIELDS
ISSN journal
01788051 → ACNP
Volume
113
Issue
4
Year of publication
1999
Pages
519 - 534
Database
ISI
SICI code
0178-8051(199904)113:4<519:PUFPVO>2.0.ZU;2-3
Abstract
Any solution of the functional equation [GRAPHICS] where B is a Brownian motion, behaves like a reflected Brownian motion, exc ept when it attains a new maximum: we call it an alpha-perturbed reflected Brownian motion. Similarly any solution of [GRAPHICS] behaves like a Brownian motion except when it attains a new maximum or mini mum: we call it an alpha,beta-doubly perturbed Brownian motion. We complete some recent investigations by showing that for all permissible values of t he parameters alpha, alpha and beta respectively, these equations have path wise unique solutions, and these are adapted to the filtration of B.