Localization for constrained martingale problems and optimal conditions for uniqueness of reflecting diffusions in 2-dimensional domains
Fuente:
arXiv
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Preprint |
| Published: |
2022
|
| Subjects: | |
| Online Access: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1866910545785913344 |
|---|---|
| author | Costantini, Cristina Kurtz, Thomas G. |
| author_facet | Costantini, Cristina Kurtz, Thomas G. |
| contents | We prove existence and uniqueness for semimartingale reflecting diffusions in 2-dimensional piecewise smooth domains with varying, oblique directions of reflection on each "side", under geometric, easily verifiable conditions. Our conditions are optimal in the sense that, in the case of a convex polygon with constant direction of reflection on each side, they reduce to the conditions of Dai and Williams (1996), which are necessary for existence of Reflecting Brownian Motion. Moreover our conditions allow for cusps. Our argument is based on a new localization result for constrained martingale problems which holds quite generally: as an additional example, we show that it holds for diffusions with jump boundary conditions. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2206_05621 |
| institution | arXiv |
| publishDate | 2022 |
| record_format | arxiv |
| spellingShingle | Localization for constrained martingale problems and optimal conditions for uniqueness of reflecting diffusions in 2-dimensional domains Costantini, Cristina Kurtz, Thomas G. Probability Optimization and Control 60J60, 60H10, 60J55, 60G17 We prove existence and uniqueness for semimartingale reflecting diffusions in 2-dimensional piecewise smooth domains with varying, oblique directions of reflection on each "side", under geometric, easily verifiable conditions. Our conditions are optimal in the sense that, in the case of a convex polygon with constant direction of reflection on each side, they reduce to the conditions of Dai and Williams (1996), which are necessary for existence of Reflecting Brownian Motion. Moreover our conditions allow for cusps. Our argument is based on a new localization result for constrained martingale problems which holds quite generally: as an additional example, we show that it holds for diffusions with jump boundary conditions. |
| title | Localization for constrained martingale problems and optimal conditions for uniqueness of reflecting diffusions in 2-dimensional domains |
| topic | Probability Optimization and Control 60J60, 60H10, 60J55, 60G17 |
| url | https://arxiv.org/abs/2206.05621 |