Multiplicative functional for reflected Brownian motion via deterministic ODE

MaRDI QIDQ1928864zbMATH OpenFDO

Authors K. Burdzy, John M. Lee

Publication date 4 January 2013

Published in Illinois Journal of Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0805.3740, https://projecteuclid.org/euclid.ijm/1336049981

zbMATH Keywords

Lyapunov exponentreflected Brownian motionstochastic flowsexcursion theorymultiplicative functionalsdeterministic ODE

Mathematics Subject Classification ID

Brownian motion (60J65) Boundary theory for Markov processes (60J50)

Abstract: We prove that a sequence of semi-discrete approximations converges to a multiplicative functional for reflected Brownian motion, which intuitively represents the Lyapunov exponent for the corresponding stochastic flow. The method of proof is based on a study of the deterministic version of the problem and the excursion theory.

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Cited in

(2)

• Differentiability of stochastic flow of reflected Brownian motions
• Brownian earthworm

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