Multiplicative functional for reflected Brownian motion via deterministic ODE

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dc.creatorBurdzy, Krzysztof
dc.creatorLee, John M.
dc.date2008-05-24
dc.date.accessioned2026-07-07T09:40:48Z
dc.date.available2026-07-07T09:40:48Z
dc.descriptionWe 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.
dc.identifierhttps://arxiv.org/abs/0805.3740
dc.identifierhttp://arxiv.org/abs/0805.3740
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/161605
dc.subjectProbability
dc.subject60J65
dc.titleMultiplicative functional for reflected Brownian motion via deterministic ODE
dc.typetext

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