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Mathematics  2008 

Multiplicative functional for reflected Brownian motion via deterministic ODE

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Abstract:

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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