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September 2002 Limiting Behaviors for Brownian Motion Reflected on Brownian Motion
Xia Chen, Wenbo V. Li
Methods Appl. Anal. 9(3): 377-392 (September 2002).


Suppose that g(t) and Wt are independent Brownian motions starting from g(0) = W0 = 0. Consider the Brownian motion Yt reflected on g(t), obtained from Wt by the means of the Skorohod lemma. The upper and lower limiting behaviors of Yt are presented. The upper tail estimate on exit time is computed via principal eigenvalue.


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Xia Chen. Wenbo V. Li. "Limiting Behaviors for Brownian Motion Reflected on Brownian Motion." Methods Appl. Anal. 9 (3) 377 - 392, September 2002.


Published: September 2002
First available in Project Euclid: 17 June 2005

zbMATH: 1092.60032
MathSciNet: MR2023131

Rights: Copyright © 2002 International Press of Boston

Vol.9 • No. 3 • September 2002
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