Tutte's invariant approach for Brownian motion reflected in the quadrant

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Abstract

We consider a Brownian motion with negative drift in the quarter plane with orthogonal reflection on the axes. The Laplace transform of its stationary distribution satisfies a functional equation, which is reminiscent from equations arising in the enumeration of (discrete) quadrant walks. We develop a Tutte's invariant approach to this continuous setting, and we obtain an explicit formula for the Laplace transform in terms of generalized Chebyshev polynomials.

Original languageEnglish
Pages (from-to)220-234
Number of pages15
JournalESAIM - Probability and Statistics
Volume21
DOIs
Publication statusPublished - 1 Jan 2017

Keywords

  • Laplace transform
  • Reflected Brownian motion in the quarter plane
  • Tutte's invariant approach
  • generalized Chebyshev polynomials
  • stationary distribution

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