Multiplicative functional for reflected Brownian motion via deterministic ODE

Details Multiplicative functional for reflected Brownian motion via deterministic ODE Multiplicative functional for reflected Brownian motion via deterministic ODE

2008-05-24

arxiv.org/abs/0805.3740v1

Mathematics

Probability

Scientific paper

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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