Brownian motion reflected on Brownian motion
نویسندگان
چکیده
منابع مشابه
Limiting Behaviors for Brownian Motion Reflected on Brownian Motion
Suppose that g(t) and Wt are independent Brownian motions starting from g(0) = W0 = 0. Consider the Brownian motion Yt reflected on g(t), obtained from Wt by the means of the Skorohod lemma. The upper and lower limiting behaviors of Yt are presented. The upper tail estimate on exit time is computed via principal eigenvalue.
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ژورنال
عنوان ژورنال: Probability Theory and Related Fields
سال: 2002
ISSN: 0178-8051,1432-2064
DOI: 10.1007/s004400100165