Differentiability of stochastic flow of reflected Brownian motions
Probability
2008-06-26 v2
Abstract
We prove that a stochastic flow of reflected Brownian motions in a smooth multidimensional domain is differentiable with respect to its initial position. The derivative is a linear map represented by a multiplicative functional for reflected Brownian motion. The method of proof is based on excursion theory and analysis of the deterministic Skorokhod equation.
Keywords
Cite
@article{arxiv.0806.0119,
title = {Differentiability of stochastic flow of reflected Brownian motions},
author = {Krzysztof Burdzy},
journal= {arXiv preprint arXiv:0806.0119},
year = {2008}
}