Stochastic Diffusion with Oblique Reflection

(
dXt
dYt
) = (

) dt + (

)(
dBt(1)
dBt(2)
)
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On exit:
1
hit
max
hits
α = (δ+ε)/ξ = 2
Steps taken: 0
Behavior of the boundary (0,0) for SRBM for various α
For α ∈(0,0) is
(-∞,0]an entrance
(0,2)regular, reflecting,
& recurring
[2,∞)exit, absorbing

Notes

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