Differentiability of stochastic flow of reflected Brownian motions

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dc.creatorBurdzy, Krzysztof
dc.date2008-06-01
dc.date2008-06-26
dc.date.accessioned2026-07-07T09:46:33Z
dc.date.available2026-07-07T09:46:33Z
dc.descriptionWe prove that a stochastic flow of reflected Brownian motions in a smooth multidimensional domain is differentiable with respect to its initial position. The derivative is a linear map represented by a multiplicative functional for reflected Brownian motion. The method of proof is based on excursion theory and analysis of the deterministic Skorokhod equation.
dc.identifierhttps://arxiv.org/abs/0806.0119
dc.identifierhttp://arxiv.org/abs/0806.0119
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/163569
dc.subjectProbability
dc.subject60J65; 60J50
dc.titleDifferentiability of stochastic flow of reflected Brownian motions
dc.typetext

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