Asymptotic behavior of the occupancy density for obliquely reflected brownian motion in a half-plane and Martin Boundary

Philip A. Ernst, Sandro Franceschi

Research output: Contribution to journalArticlepeer-review

Abstract

Let π be the occupancy density of an obliquely reflected Brownian motion in the half plane and let (ρ,α) be the polar coordinates of a point in the upper half plane. This work determines the exact asymptotic behavior of π(ρ,α) as ρ → ∞ with α ∈ (0,π). We find explicit functions a, b, c such that (Formula Presented). This closes an open problem first stated by Professor J. Michael Harrison in August 2013. We also compute the exact asymptotics for the tail distribution of the boundary occupancy measure and we obtain an explicit integral expression for π. We conclude by finding the Martin boundary of the process and giving all of the corresponding harmonic functions satisfying an oblique Neumann boundary problem.

Original languageEnglish
Pages (from-to)2991-3016
Number of pages26
JournalAnnals of Applied Probability
Volume31
Issue number6
DOIs
Publication statusPublished - 1 Dec 2021
Externally publishedYes

Keywords

  • Exact asymptotics
  • Green’s function
  • Laplace transform
  • Martin boundary
  • Obliquely reflected Brownian motion in a half-plane
  • Occupancy density
  • Saddle-point method
  • Stationary distribution

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