Pathwise uniqueness for perturbed versions of Brownian motion and reflected Brownian motion

被引:45
作者
Chaumont, L
Doney, RA
机构
[1] Univ Paris 06, Probabil Lab, F-75252 Paris 05, France
[2] Univ Manchester, Dept Math, Manchester M13 9PL, Lancs, England
关键词
Mathematics Subject Classification (1991): 60J30, 60J20;
D O I
10.1007/s004400050216
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
Any solution of the functional equation [GRAPHICS] where B is a Brownian motion, behaves like a reflected Brownian motion, except when it attains a new maximum: we call it an alpha-perturbed reflected Brownian motion. Similarly any solution of [GRAPHICS] behaves like a Brownian motion except when it attains a new maximum or minimum: we call it an alpha,beta-doubly perturbed Brownian motion. We complete some recent investigations by showing that for all permissible values of the parameters alpha, alpha and beta respectively, these equations have pathwise unique solutions, and these are adapted to the filtration of B.
引用
收藏
页码:519 / 534
页数:16
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