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arXiv · 1210.8015

On a multidimentional Brownian motion with partly reflecting membrane on a hyperplane

L. L. Zaitseva
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Abstract

A multidimensional Brownian motion with partial reflection on a hyperplane $S$ in the direction $qN+α$, where $N$ is the conormal vector to the hyperplane and $q\in [-1,1], α\in S$ are given parametres, is constructed and this construction is based on both analytic and probabilistic approaches. The joint distribution of $d-$dimensional analogy to skew Brownian motion and its local time on the hyperplane is obtained.

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L. L. Zaitseva. 2012-10-30. On a multidimentional Brownian motion with partly reflecting membrane on a hyperplane. https://arxiv.org/abs/1210.8015

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