Limiting behaviors for Brownian motion reflected on Brownian motion

Date
2002
Authors
Chen, X.
Li, Wenbo
Journal Title
Journal ISSN
Volume Title
Publisher
Department of Mathematical Sciences
Abstract
Suppose that g(t) and Wt are independent Brownian motions starting from g(0) = W0 = 0. Consider the Brownian motion Yt re ected 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.
Description
Keywords
Brownian Motion , Re ected Brownian Motion Limiting behaviors , deviation estimates
Citation