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research article

Stationary distributions for diffusions with inert drift

Bass, Richard F.
•
Burdzy, Krzysztof  
•
Chen, Zhen Qing
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October 1, 2009
Probability Theory and Related Fields

Consider reflecting Brownian motion in a bounded domain in ℝd that acquires drift in proportion to the amount of local time spent on the boundary of the domain. We show that the stationary distribution for the joint law of the position of the reflecting Brownian motion and the value of the drift vector has a product form. Moreover, the first component is uniformly distributed on the domain, and the second component has a Gaussian distribution. We also consider more general reflecting diffusions with inert drift as well as processes where the drift is given in terms of the gradient of a potential. © Springer-Verlag 2008.

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Type
research article
DOI
10.1007/s00440-008-0182-6
Scopus ID

2-s2.0-70350353518

Author(s)
Bass, Richard F.
Burdzy, Krzysztof  
Chen, Zhen Qing
Hairer, Martin  
Date Issued

2009-10-01

Published in
Probability Theory and Related Fields
Volume

146

Issue

1

Start page

1

End page

47

Subjects

60J60

•

Primary: 60H10

•

Secondary: 60J55

Editorial or Peer reviewed

REVIEWED

Written at

OTHER

EPFL units
PROPDE  
Available on Infoscience
September 17, 2024
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/241164
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