Multiplicative functional for reflected Brownian motion via deterministic ODE
Probability
2008-05-27 v1
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.
Cite
@article{arxiv.0805.3740,
title = {Multiplicative functional for reflected Brownian motion via deterministic ODE},
author = {Krzysztof Burdzy and John M. Lee},
journal= {arXiv preprint arXiv:0805.3740},
year = {2008}
}