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arXiv · 1207.4000

Reflecting diffusions and hyperbolic Brownian motions in multidimensional spheres

Olga Aryasova·Alessandro De Gregorio·Enzo Orsingher
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Abstract

Diffusion processes $(\underline{\bf X}_d(t))_{t\geq 0}$ moving inside spheres $S_R^d \subset\mathbb{R}^d$ and reflecting orthogonally on their surfaces $\partial S_R^d$ are considered. The stochastic differential equations governing the reflecting diffusions are presented and their kernels and distributions explicitly derived. Reflection is obtained by means of the inversion with respect to the sphere $S_R^d$. The particular cases of Ornstein-Uhlenbeck process and Brownian motion are examined in detail. The hyperbolic Brownian motion on the Poincarè half-space $\mathbb{H}_d$ is examined in the last part of the paper and its reflecting counterpart within hyperbolic spheres is studied. Finally a section is devoted to reflecting hyperbolic Brownian motion in the Poincarè disc $D$ within spheres concentric with $D$.

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Olga Aryasova, Alessandro De Gregorio, Enzo Orsingher. 2012-07-17. Reflecting diffusions and hyperbolic Brownian motions in multidimensional spheres. https://arxiv.org/abs/1207.4000

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