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Path collapse for multidimensional Brownian motion with rebirth

Author

Listed:
  • Grigorescu, Ilie
  • Kang, Min

Abstract

In a bounded open region of the d-dimensional Euclidean space we consider a Brownian motion which is reborn at a fixed interior point as soon as it reaches the boundary. It was shown that in dimension one coupled paths starting at different points but driven by the same Brownian motion either collapse with probability one or never meet. In higher dimensions, for convex or polyhedral regions, the paths with positive probability of collapse differ at start by a vector from a set of codimension one. The problem can be interpreted in terms of the long term mixing properties of the payoff of a portfolio of knock-out barrier options in derivatives markets.

Suggested Citation

  • Grigorescu, Ilie & Kang, Min, 2004. "Path collapse for multidimensional Brownian motion with rebirth," Statistics & Probability Letters, Elsevier, vol. 70(3), pages 199-209, December.
  • Handle: RePEc:eee:stapro:v:70:y:2004:i:3:p:199-209
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