Multiplicative functional for reflected Brownian motion via deterministic ODE (Q1928864)

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Multiplicative functional for reflected Brownian motion via deterministic ODE
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    Multiplicative functional for reflected Brownian motion via deterministic ODE (English)
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    4 January 2013
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    This paper deals with a stochastic flow of reflected Brownian motions \(X^{x}_{t}\) in a bounded \(C^{2}\) domain \(D\subset\mathbb{R}^{n}\), \(n\leq 2\), for any \(x\in \overline{D}\) with \(X^{x}_{0}=x\). It is the first part of a more general project concerning path properties of this flow. More precisely, in the Introduction, the authors first recall the result by the first author et al. [Ill. J. Math. 50, No. 1--4, 189--268 (2006; Zbl 1142.60053)] that, for \(n=2\), for \(x\neq y\), \(\lim_{t\rightarrow \infty} \log|X^{x}_{t}-X^{y}_{t}|/t\) exists a.s. and is expressed in terms of geometric properties associated with \(D\) and, then, announce their aim to obtain an analogous result for \(n\leq 3\). For the latter, the limit is a linear multiplicative functional of reflected Brownian motions and has to be expressed using the stationary distribution for its normalized version. This multiplicative functional has been studied by the first author [Electron. J. Probab. 14, 2182--2240 (2009; Zbl 1195.60107)] and represents the Lyapunov exponent of the stochastic flow. In Section 2, the authors analyze the deterministic version of the multiplicative functional, and, finally, in Section 3, they prove the existence of this functional using semi-discrete approximations and excursion theory.
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    stochastic flows
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    reflected Brownian motion
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    multiplicative functionals
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    excursion theory
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    Lyapunov exponent
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    deterministic ODE
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