Methods and Applications of Analysis

Limiting Behaviors for Brownian Motion Reflected on Brownian Motion

Xia Chen and Wenbo V. Li

Abstract

Suppose that g(t) and Wt are independent Brownian motions starting from g(0) = W0 = 0. Consider the Brownian motion Yt reflected on g(t), obtained from Wt by the means of the Skorohod lemma. The upper and lower limiting behaviors of Yt are presented. The upper tail estimate on exit time is computed via principal eigenvalue.

Article information

Source
Methods Appl. Anal., Volume 9, Number 3 (2002), 377-392.

Dates
First available in Project Euclid: 17 June 2005

Permanent link to this document
https://projecteuclid.org/euclid.maa/1119027730

Mathematical Reviews number (MathSciNet)
MR2023131

Zentralblatt MATH identifier
1092.60032

Citation

Chen, Xia; Li, Wenbo V. Limiting Behaviors for Brownian Motion Reflected on Brownian Motion. Methods Appl. Anal. 9 (2002), no. 3, 377--392. https://projecteuclid.org/euclid.maa/1119027730


Export citation