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Multiplicative functional for reflected Brownian motion via deterministic ODE

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arxiv 0805.3740 v1 pith:PZ5UHMHT submitted 2008-05-24 math.PR

Multiplicative functional for reflected Brownian motion via deterministic ODE

Krzysztof Burdzy , John M. Lee This is my paper
classification math.PR
keywords browniandeterministicfunctionalmotionmultiplicativereflectedapproximationsconverges
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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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