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 Electronic Journal of Probability > Vol. 14 (2009) > Paper 75 open journal systems 


Differentiability of stochastic flow of reflected Brownian motions

Krzysztof Burdzy, University of Washington


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.


Full text: PDF

Pages: 2182-2240

Published on: October 6, 2009
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Electronic Journal of Probability. ISSN: 1083-6489