Synchronous couplings of reflected brownian motions in smooth domains

Krzysztof Burdzy*, Zhen Qing Chen, Peter Jones

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

13 Citations (Scopus)

Abstract

For every bounded planar domain D with a smooth boundary, we define a "Lyapunov exponent" Λ(D) using a fairly explicit formula. We consider two reflected Brownian motions in D, driven by the same Brownian motion (i.e., a "synchronous coupling"). If Λ(D)) > 0 then the distance between the two Brownian particles goes to 0 exponentially fast with rate Λ(D)/(2|D|) as time goes to infinity. The exponent Λ(D) is strictly positive if the domain has at most one hole. It is an open problem whether there exists a domain with Λ(D) < 0.

Original languageEnglish
Pages (from-to)189-268
Number of pages80
JournalIllinois Journal of Mathematics
Volume50
Issue number1
DOIs
Publication statusPublished - 2006
Externally publishedYes

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