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arXiv · 0805.3740

Multiplicative functional for reflected Brownian motion via deterministic ODE

Krzysztof Burdzy·John M. Lee
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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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Krzysztof Burdzy, John M. Lee. 2008-05-24. Multiplicative functional for reflected Brownian motion via deterministic ODE. https://arxiv.org/abs/0805.3740

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