Krzysztof Burdzy, John M. Lee
Published 2008-05-24Version 1
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.
Analytic approach for reflected Brownian motion in the quadrant
Differentiability of stochastic flow of reflected Brownian motions
Recovering semipermeable barriers from reflected Brownian motion
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