English

Synchronous couplings of reflected Brownian motions in smooth domains

Probability 2007-05-23 v1

Abstract

For every bounded planar domain DD with a smooth boundary, we define a `Lyapunov exponent' Λ(D)\Lambda(D) using a fairly explicit formula. We consider two reflected Brownian motions in DD, driven by the same Brownian motion (i.e., a `synchronous coupling'). If Λ(D)>0\Lambda(D)>0 then the distance between the two Brownian particles goes to 0 exponentially fast with rate Λ(D)/(2D)\Lambda (D)/(2|D|) as time goes to infinity. The exponent Λ(D)\Lambda(D) is strictly positive if the domain has at most one hole. It is an open problem whether there exists a domain with Λ(D)<0\Lambda(D)<0.

Keywords

Cite

@article{arxiv.math/0501486,
  title  = {Synchronous couplings of reflected Brownian motions in smooth domains},
  author = {Krzysztof Burdzy and Zhen-Qing Chen and Peter Jones},
  journal= {arXiv preprint arXiv:math/0501486},
  year   = {2007}
}