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math.PR2006★ 23 cited
Discrete approximations to reflected Brownian motion
Krzysztof Burdzy, Zhen-Qing Chen
In this paper we investigate three discrete or semi-discrete approximation schemes for reflected Brownian motion on bounded Euclidean domains. For a class of bounded domains in…
math.PR2006
Pathwise uniqueness for a degenerate stochastic differential equation
Richard F. Bass, Krzysztof Burdzy, Zhen-Qing Chen
We introduce a new method of proving pathwise uniqueness, and we apply it to the degenerate stochastic differential equation \[dX_t=|X_t|^α dW_t,\] where is a one-dimensional…