IDEAS home Printed from https://ideas.repec.org/a/eee/spapps/v117y2007i5p539-549.html
   My bibliography  Save this article

Reflected Brownian motion in generic triangles and wedges

Author

Listed:
  • Kager, Wouter

Abstract

Consider a generic triangle in the upper half of the complex plane with one side on the real line. This paper presents a tailored construction of a discrete random walk whose continuum limit is a Brownian motion in the triangle, reflected instantaneously on the left and right sides with constant reflection angles. Starting from the top of the triangle, it is evident from the construction that the reflected Brownian motion lands with the uniform distribution on the base. This raises some questions on the possible distributions of hulls generated by local processes.

Suggested Citation

  • Kager, Wouter, 2007. "Reflected Brownian motion in generic triangles and wedges," Stochastic Processes and their Applications, Elsevier, vol. 117(5), pages 539-549, May.
  • Handle: RePEc:eee:spapps:v:117:y:2007:i:5:p:539-549
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0304-4149(06)00143-8
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. S. Franceschi, 2021. "Green’s Functions with Oblique Neumann Boundary Conditions in the Quadrant," Journal of Theoretical Probability, Springer, vol. 34(4), pages 1775-1810, December.
    2. Bras, Pierre & Kohatsu-Higa, Arturo, 2023. "Simulation of reflected Brownian motion on two dimensional wedges," Stochastic Processes and their Applications, Elsevier, vol. 156(C), pages 349-378.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:117:y:2007:i:5:p:539-549. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.