Explicit semimartingale representation of Brownian motion in a wedge
AbstractIn this paper we obtain an explicit semimartingale representation of reflected Brownian motion in a wedge with constant direction of reflection on each side of the wedge. The existence of a semimartingale representation is due to Williams (1985), but here we identify the martingale (Brownian motion, of course) and describe the behavior of the finite variation part. Our solution also verifies a conjecture of Williams (1985).
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Bibliographic InfoArticle provided by Elsevier in its journal Stochastic Processes and their Applications.
Volume (Year): 34 (1990)
Issue (Month): 1 (February)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description
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