<p>Consider the deterministic Skorokhod equation in the closed first quadrant: <Equation ID="Equ99"> <EquationSource Format="TEX">\(\begin{aligned} X_t=x_0+ f(t)+\int _0^t\textbf{v}(X_s)\, dL_s,\end{aligned}\)</EquationSource> <EquationSource Format="MATHML"><math display="block"> <mrow> <mtable> <mtr> <mtd columnalign="right"> <mrow> <msub> <mi>X</mi> <mi>t</mi> </msub> <mo>=</mo> <msub> <mi>x</mi> <mn>0</mn> </msub> <mo>+</mo> <mi>f</mi> <mrow> <mo stretchy="false">(</mo> <mi>t</mi> <mo stretchy="false">)</mo> </mrow> <mo>+</mo> <msubsup> <mo>∫</mo> <mn>0</mn> <mi>t</mi> </msubsup> <mi mathvariant="bold">v</mi> <mrow> <mo stretchy="false">(</mo> <msub> <mi>X</mi> <mi>s</mi> </msub> <mo stretchy="false">)</mo> </mrow> <mspace width="0.166667em" /> <mi>d</mi> <msub> <mi>L</mi> <mi>s</mi> </msub> <mo>,</mo> </mrow> </mtd> </mtr> </mtable> </mrow> </math></EquationSource> </Equation>where <InlineEquation ID="IEq1"> <EquationSource Format="TEX">\(f:[0,\infty )\rightarrow \mathbb {R}^2\)</EquationSource> <EquationSource Format="MATHML"><math> <mrow> <mi>f</mi> <mo>:</mo> <mrow> <mo stretchy="false">[</mo> <mn>0</mn> <mo>,</mo> <mi>∞</mi> <mo stretchy="false">)</mo> </mrow> <mo stretchy="false">→</mo> <msup> <mrow> <mi mathvariant="double-struck">R</mi> </mrow> <mn>2</mn> </msup> </mrow> </math></EquationSource> </InlineEquation> is a continuous function, <InlineEquation ID="IEq2"> <EquationSource Format="TEX">\(f(0)=0\)</EquationSource> <EquationSource Format="MATHML"><math> <mrow> <mi>f</mi> <mo stretchy="false">(</mo> <mn>0</mn> <mo stretchy="false">)</mo> <mo>=</mo> <mn>0</mn> </mrow> </math></EquationSource> </InlineEquation>, <InlineEquation ID="IEq3"> <EquationSource Format="TEX">\(X_t\)</EquationSource> <EquationSource Format="MATHML"><math> <msub> <mi>X</mi> <mi>t</mi> </msub> </math></EquationSource> </InlineEquation> takes values in the quadrant for all <i>t</i>, and <InlineEquation ID="IEq4"> <EquationSource Format="TEX">\(L_t\)</EquationSource> <EquationSource Format="MATHML"><math> <msub> <mi>L</mi> <mi>t</mi> </msub> </math></EquationSource> </InlineEquation> is a process that starts at 0, is non-decreasing and continuous, and increases only at those times when <InlineEquation ID="IEq5"> <EquationSource Format="TEX">\(X_t\)</EquationSource> <EquationSource Format="MATHML"><math> <msub> <mi>X</mi> <mi>t</mi> </msub> </math></EquationSource> </InlineEquation> is on the boundary of the quadrant. Suppose <InlineEquation ID="IEq6"> <EquationSource Format="TEX">\(\textbf{v}\)</EquationSource> <EquationSource Format="MATHML"><math> <mi mathvariant="bold">v</mi> </math></EquationSource> </InlineEquation> equals <InlineEquation ID="IEq7"> <EquationSource Format="TEX">\((-a_1,1)\)</EquationSource> <EquationSource Format="MATHML"><math> <mrow> <mo stretchy="false">(</mo> <mo>-</mo> <msub> <mi>a</mi> <mn>1</mn> </msub> <mo>,</mo> <mn>1</mn> <mo stretchy="false">)</mo> </mrow> </math></EquationSource> </InlineEquation> on the positive <i>x</i> axis, equals <InlineEquation ID="IEq8"> <EquationSource Format="TEX">\((1,-a_2)\)</EquationSource> <EquationSource Format="MATHML"><math> <mrow> <mo stretchy="false">(</mo> <mn>1</mn> <mo>,</mo> <mo>-</mo> <msub> <mi>a</mi> <mn>2</mn> </msub> <mo stretchy="false">)</mo> </mrow> </math></EquationSource> </InlineEquation> on the positive <i>y</i> axis, and <InlineEquation ID="IEq9"> <EquationSource Format="TEX">\(\textbf{v}(0)\)</EquationSource> <EquationSource Format="MATHML"><math> <mrow> <mi mathvariant="bold">v</mi> <mo stretchy="false">(</mo> <mn>0</mn> <mo stretchy="false">)</mo> </mrow> </math></EquationSource> </InlineEquation> points into the closed first quadrant. Let <InlineEquation ID="IEq10"> <EquationSource Format="TEX">\(\theta _i=\arctan a_i\)</EquationSource> <EquationSource Format="MATHML"><math> <mrow> <msub> <mi>θ</mi> <mi>i</mi> </msub> <mo>=</mo> <mo>arctan</mo> <msub> <mi>a</mi> <mi>i</mi> </msub> </mrow> </math></EquationSource> </InlineEquation>, <InlineEquation ID="IEq11"> <EquationSource Format="TEX">\(i=1,2\)</EquationSource> <EquationSource Format="MATHML"><math> <mrow> <mi>i</mi> <mo>=</mo> <mn>1</mn> <mo>,</mo> <mn>2</mn> </mrow> </math></EquationSource> </InlineEquation>. Suppose that <InlineEquation ID="IEq12"> <EquationSource Format="TEX">\(\theta _1+\theta _2&lt;\pi /2\)</EquationSource> <EquationSource Format="MATHML"><math> <mrow> <msub> <mi>θ</mi> <mn>1</mn> </msub> <mo>+</mo> <msub> <mi>θ</mi> <mn>2</mn> </msub> <mo>&lt;</mo> <mi>π</mi> <mo stretchy="false">/</mo> <mn>2</mn> </mrow> </math></EquationSource> </InlineEquation>, <InlineEquation ID="IEq13"> <EquationSource Format="TEX">\(\theta _2&lt;0\)</EquationSource> <EquationSource Format="MATHML"><math> <mrow> <msub> <mi>θ</mi> <mn>2</mn> </msub> <mo>&lt;</mo> <mn>0</mn> </mrow> </math></EquationSource> </InlineEquation>, <InlineEquation ID="IEq14"> <EquationSource Format="TEX">\(\theta _1&gt;-\theta _2&gt;0\)</EquationSource> <EquationSource Format="MATHML"><math> <mrow> <msub> <mi>θ</mi> <mn>1</mn> </msub> <mo>&gt;</mo> <mo>-</mo> <msub> <mi>θ</mi> <mn>2</mn> </msub> <mo>&gt;</mo> <mn>0</mn> </mrow> </math></EquationSource> </InlineEquation>, <InlineEquation ID="IEq15"> <EquationSource Format="TEX">\(|a_1a_2|&gt;1\)</EquationSource> <EquationSource Format="MATHML"><math> <mrow> <mrow> <mo stretchy="false">|</mo> </mrow> <msub> <mi>a</mi> <mn>1</mn> </msub> <msub> <mi>a</mi> <mn>2</mn> </msub> <mrow> <mo stretchy="false">|</mo> <mo>&gt;</mo> <mn>1</mn> </mrow> </mrow> </math></EquationSource> </InlineEquation> and <Equation ID="Equ100"> <EquationSource Format="TEX">\(\begin{aligned}\frac{\log |a_1|+\log |a_2|}{a_1+a_2}&gt;\pi /2.\end{aligned}\)</EquationSource> <EquationSource Format="MATHML"><math display="block"> <mrow> <mtable> <mtr> <mtd columnalign="right"> <mrow> <mfrac> <mrow> <mrow> <mo>log</mo> <mo stretchy="false">|</mo> </mrow> <msub> <mi>a</mi> <mn>1</mn> </msub> <mrow> <mo stretchy="false">|</mo> <mo>+</mo> <mo>log</mo> <mo stretchy="false">|</mo> </mrow> <msub> <mi>a</mi> <mn>2</mn> </msub> <mrow> <mo stretchy="false">|</mo> </mrow> </mrow> <mrow> <msub> <mi>a</mi> <mn>1</mn> </msub> <mo>+</mo> <msub> <mi>a</mi> <mn>2</mn> </msub> </mrow> </mfrac> <mo>&gt;</mo> <mi>π</mi> <mo stretchy="false">/</mo> <mn>2</mn> <mo>.</mo> </mrow> </mtd> </mtr> </mtable> </mrow> </math></EquationSource> </Equation>We prove that for almost every trajectory of standard 2-dimensional Brownian motion <InlineEquation ID="IEq16"> <EquationSource Format="TEX">\(B_t\)</EquationSource> <EquationSource Format="MATHML"><math> <msub> <mi>B</mi> <mi>t</mi> </msub> </math></EquationSource> </InlineEquation>, the Skorokhod equation with <InlineEquation ID="IEq17"> <EquationSource Format="TEX">\(f(t)\equiv B_t\)</EquationSource> <EquationSource Format="MATHML"><math> <mrow> <mi>f</mi> <mrow> <mo stretchy="false">(</mo> <mi>t</mi> <mo stretchy="false">)</mo> </mrow> <mo>≡</mo> <msub> <mi>B</mi> <mi>t</mi> </msub> </mrow> </math></EquationSource> </InlineEquation> has at least two solutions.</p>

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On pathwise uniqueness for Brownian motion in a quadrant with oblique reflection

  • Richard F. Bass,
  • Krzysztof Burdzy

摘要

Consider the deterministic Skorokhod equation in the closed first quadrant: \(\begin{aligned} X_t=x_0+ f(t)+\int _0^t\textbf{v}(X_s)\, dL_s,\end{aligned}\) X t = x 0 + f ( t ) + 0 t v ( X s ) d L s , where \(f:[0,\infty )\rightarrow \mathbb {R}^2\) f : [ 0 , ) R 2 is a continuous function, \(f(0)=0\) f ( 0 ) = 0 , \(X_t\) X t takes values in the quadrant for all t, and \(L_t\) L t is a process that starts at 0, is non-decreasing and continuous, and increases only at those times when \(X_t\) X t is on the boundary of the quadrant. Suppose \(\textbf{v}\) v equals \((-a_1,1)\) ( - a 1 , 1 ) on the positive x axis, equals \((1,-a_2)\) ( 1 , - a 2 ) on the positive y axis, and \(\textbf{v}(0)\) v ( 0 ) points into the closed first quadrant. Let \(\theta _i=\arctan a_i\) θ i = arctan a i , \(i=1,2\) i = 1 , 2 . Suppose that \(\theta _1+\theta _2<\pi /2\) θ 1 + θ 2 < π / 2 , \(\theta _2<0\) θ 2 < 0 , \(\theta _1>-\theta _2>0\) θ 1 > - θ 2 > 0 , \(|a_1a_2|>1\) | a 1 a 2 | > 1 and \(\begin{aligned}\frac{\log |a_1|+\log |a_2|}{a_1+a_2}>\pi /2.\end{aligned}\) log | a 1 | + log | a 2 | a 1 + a 2 > π / 2 . We prove that for almost every trajectory of standard 2-dimensional Brownian motion \(B_t\) B t , the Skorokhod equation with \(f(t)\equiv B_t\) f ( t ) B t has at least two solutions.