research article
Stationary distributions for diffusions with inert drift
October 1, 2009
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.
Type
research article
Scopus ID
2-s2.0-70350353518
Author(s)
Date Issued
2009-10-01
Published in
Volume
146
Issue
1
Start page
1
End page
47
Subjects
Editorial or Peer reviewed
REVIEWED
Written at
OTHER
EPFL units
Available on Infoscience
September 17, 2024
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