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 language | English |
|---|---|
| Pages (from-to) | 220-234 |
| Number of pages | 15 |
| Journal | ESAIM - Probability and Statistics |
| Volume | 21 |
| DOIs | |
| Publication status | Published - 1 Jan 2017 |
Keywords
- Laplace transform
- Reflected Brownian motion in the quarter plane
- Tutte's invariant approach
- generalized Chebyshev polynomials
- stationary distribution