Synchronous couplings of reflected Brownian motions in smooth domains
Probability
2007-05-23 v1
Abstract
For every bounded planar domain with a smooth boundary, we define a `Lyapunov exponent' using a fairly explicit formula. We consider two reflected Brownian motions in , driven by the same Brownian motion (i.e., a `synchronous coupling'). If then the distance between the two Brownian particles goes to 0 exponentially fast with rate as time goes to infinity. The exponent is strictly positive if the domain has at most one hole. It is an open problem whether there exists a domain with .
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}
}