• Corpus ID: 250280003

Cutoff stability of multivariate geometric Brownian motion

@inproceedings{Barrera2022CutoffSO,
  title={Cutoff stability of multivariate geometric Brownian motion},
  author={Gerardo Barrera and Michael A. Hogele and Juan Carlos Pardo},
  year={2022}
}
. This article quantifies the asymptotic ε -mixing times, as ε tends to 0, of a multivariate geometric Brownian motion with respect to the Wasserstein-2-distance. We study the cases of commutative, and first order non-commutative drift and diffusion coefficient matrices, respectively, in terms of the nilpotence of the respective iterated Lie commutators. 
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