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Differentiability of Stochastic Flow of Reflected Brownian Motions

   
@article{EJP700,
	author = {Krzysztof Burdzy},
	title = {Differentiability of Stochastic Flow of Reflected Brownian Motions},
	journal = {Electron. J. Probab.},
	fjournal = {Electronic Journal of Probability},
	volume = {14},
	year = {2009},
	keywords = {Reflected Brownian motion, multiplicative functional},
	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.},
	pages = {no. 75, 2182-2240},
	issn = {1083-6489},
	doi = {10.1214/EJP.v14-700},    
        url = {http://ejp.ejpecp.org/article/view/700}}