Brownian motion in the quadrant with oblique repulsion from the sides - Archive ouverte HAL
Pré-Publication, Document De Travail Année : 2013

Brownian motion in the quadrant with oblique repulsion from the sides

Résumé

We consider the problem of strong existence and uniqueness of a Brownian motion forced to stay in the quadrant by an electrostatic repulsion from the sides that works obliquely. The results are reminiscent of the study of a Brownian motion with oblique reflection in a wedge. Actually, the same skew symmetry condition is involved when looking for a stationary distribution in product form. the terms of the product are now gamma distributions in place of exponential ones. An associate purely deterministic problem is also considered.
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Dates et versions

hal-00725894 , version 1 (28-08-2012)
hal-00725894 , version 2 (13-02-2013)

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Citer

Dominique Lépingle. Brownian motion in the quadrant with oblique repulsion from the sides. 2013. ⟨hal-00725894v2⟩
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