Multiplicative functional for reflected Brownian motion via deterministic ODE
نویسندگان
چکیده
منابع مشابه
Multiplicative Functional for Reflected Brownian Motion via Deterministic Ode
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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ژورنال
عنوان ژورنال: Illinois Journal of Mathematics
سال: 2010
ISSN: 0019-2082
DOI: 10.1215/ijm/1336049981