28 citations · 31 across the 9 of their papers we have counts for
Showing 2008 · math.PRShow all
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math.PR2008★ 1 cited
Differentiability of stochastic flow of reflected Brownian motions
Krzysztof Burdzy
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…
math.PR2008★ 2 cited
Multiplicative functional for reflected Brownian motion via deterministic ODE
Krzysztof Burdzy, John M. Lee
We prove that a sequence of semi-discrete approximations converges to a multiplicative functional for reflected Brownian motion, which intuitively represents the Lyapunov exponent…
math.PR2008
Stationary distributions for diffusions with inert drift
Richard F. Bass, Krzysztof Burdzy, Zhen-Qing Chen +1
Consider a reflecting diffusion in a domain in that acquires drift in proportion to the amount of local time spent on the boundary of the domain. We show that the stationary…