Multiplicative functional for reflected Brownian motion via deterministic ODE
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🧮 math.PR
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browniandeterministicfunctionalmotionmultiplicativereflectedapproximationsconverges
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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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