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Differentiability of stochastic flow of reflected Brownian motions by Burdzy, Krzysztof is a scholarly article available to read on EtoBox.

What is Differentiability of stochastic flow of reflected Brownian motions about?

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.

Author

Burdzy, Krzysztof

Published

2008

Language

EN