Boundary behavior of a constrained Brownian motion between reflecting-repellent walls. (English) Zbl 1225.60060

Lépingle, Dominique

Probab. Math. Stat. 30, No. 2, 273-287 (2010).

The author considers constrained Brownian motions on convex polyhedra with normal reflections and/or singular repellent drifts. He, in particular, investigates when these processes do not hit the non-smooth parts of the boundary. For radial Dunkl-processes on Weyl-chambers, a complete answer to this is given.

Reviewer: Michael Voit (Dortmund)

MSC:

60G17	Sample path properties
60H10	Stochastic ordinary differential equations (aspects of stochastic analysis)
60J65	Brownian motion

Keywords:

reflected Brownian motion; Wishart processes; Dunkl processes; Weyl chambers; particle collisions; multivalued stochastic differential equations