Folding representations of reflected diffusions

2026/07/30 by David Itkin, Ioannis Karatzas
Mathematics · #math.PR #msc:60H10 #msc:60J60 #msc:60J65

paper · pdf

36 pages

arxiv created 2026/07/30 · arxiv updated 2026/07/31

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.

Citations

• The Parabolic Differential Equations and the Associated Semi-Groups of Transformations

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• Pathwise differentiability of reflected diffusions in convex polyhedral domains
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