Semipermeable barrier locations can be recovered from discrete samples of reflected Brownian motion, with T^{-2/3} error for fixed sampling intervals and exp(-c√T) error in a high-frequency regime.
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Recovering semipermeable barriers from reflected Brownian motion
Semipermeable barrier locations can be recovered from discrete samples of reflected Brownian motion, with T^{-2/3} error for fixed sampling intervals and exp(-c√T) error in a high-frequency regime.