Proceedings of the American Mathematical Society · 1990 · 48 citations · 4 references
EngineeringFinanceMathematicsFinancial EconomicsProbability TheoryStochastic ProcessesBrownian MotionContinuous-time Stochastic ProcessesDiffusion ProcessesStochastic CalculusStochastic Differential EquationsBrownian Motion AnalysisLipschitz ConditionsLipschitz ContinuityLipschitz ExtensionsReflected Brownian MotionSemimartingale ModelsSemimartingalesSkorokhod Problem
We prove that reflecting Brownian motion on a bounded Lipschitz domain is a semimartingale. We also extend the well-known Skorokhod equation to this case.
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