Folding representations of reflected diffusions
arXiv:2607.28004
summary
The paper introduces a new method to construct diffusion processes that reflect (including obliquely) on the boundary of a regular convex domain by applying instantaneous “folding” transformations to unconstrained diffusions.
Abstract
Diffusion processes with reflection, possibly oblique, on the boundary of a given sufficiently regular closed convex domain in Euclidean space, are constructed in a novel way via instantaneous transformations (``foldings") of suitable unconstrained diffusions.
36 pages
Topics & keywords
#reflected diffusions#stochastic processes#convex domains#oblique reflection#folding transformationsdiffusion processreflectionoblique reflectionconvex domaininstantaneous transformation