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2009 Differentiability of Stochastic Flow of Reflected Brownian Motions
Krzysztof Burdzy
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Electron. J. Probab. 14: 2182-2240 (2009). DOI: 10.1214/EJP.v14-700

Abstract

We 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.

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Krzysztof Burdzy. "Differentiability of Stochastic Flow of Reflected Brownian Motions." Electron. J. Probab. 14 2182 - 2240, 2009. https://doi.org/10.1214/EJP.v14-700

Information

Accepted: 6 October 2009; Published: 2009
First available in Project Euclid: 1 June 2016

zbMATH: 1195.60107
MathSciNet: MR2550297
Digital Object Identifier: 10.1214/EJP.v14-700

Subjects:
Primary: 60J65
Secondary: 60J50

Keywords: Multiplicative functional , reflected Brownian motion

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