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Skew-product decomposition of Brownian motion on an ellipsoid

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  • Valentić, Ivana

Abstract

In this article we obtain a skew-product decomposition of a Brownian motion on an ellipsoid of dimension n in a Euclidean space of dimension n+1. We only consider such ellipsoid whose restriction to first n dimensions is a sphere and its last coordinate depends on a variable parameter. We prove that the projection of this Brownian motion on to the last coordinate is, after a suitable transformation, a Wright–Fisher diffusion process with atypical selection coefficient.

Suggested Citation

  • Valentić, Ivana, 2023. "Skew-product decomposition of Brownian motion on an ellipsoid," Statistics & Probability Letters, Elsevier, vol. 195(C).
    • Handle: RePEc:eee:stapro:v:195:y:2023:i:c:s0167715223000081
    DOI: 10.1016/j.spl.2023.109784
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    References listed on IDEAS

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    1. Mijatović, Aleksandar & Mramor, Veno & Uribe Bravo, Gerónimo, 2020. "A note on the exact simulation of spherical Brownian motion," Statistics & Probability Letters, Elsevier, vol. 165(C).
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