Résumé
For Brownian motion in a (two-dimensional) wedge with negative drift and oblique reflection on the axes, we derive an explicit formula for the Laplace transform of its stationary distribution (when it exists), in terms of Cauchy integrals and generalized Chebyshev polynomials. To that purpose, we solve a Carlemantype boundary value problem on a hyperbola, satisfied by the Laplace transforms of the boundary stationary distribution.
| langue originale | Anglais |
|---|---|
| Pages (de - à) | 3673-3713 |
| Nombre de pages | 41 |
| journal | Bernoulli |
| Volume | 25 |
| Numéro de publication | 4 B |
| Les DOIs | |
| état | Publié - 1 janv. 2019 |
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Examiner les sujets de recherche de « Integral expression for the stationary distribution of reflected Brownian motion in a wedge ». Ensemble, ils forment une empreinte digitale unique.Contient cette citation
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