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Differentiability of Stochastic Flow of Reflected Brownian Motions


 
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1. Title Title of document Differentiability of Stochastic Flow of Reflected Brownian Motions
 
2. Creator Author's name, affiliation, country Krzysztof Burdzy; University of Washington; United States
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) Reflected Brownian motion, multiplicative functional
 
3. Subject Subject classification 60J65; 60J50
 
4. Description 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.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s) NSF
 
7. Date (YYYY-MM-DD) 2009-10-06
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ejp.ejpecp.org/article/view/700
 
10. Identifier Digital Object Identifier 10.1214/EJP.v14-700
 
11. Source Journal/conference title; vol., no. (year) Electronic Journal of Probability; Vol 14
 
12. Language English=en
 
14. Coverage Geo-spatial location, chronological period, research sample (gender, age, etc.)
 
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