Explicit expression for the stationary distribution of reflected brownian motion in a wedge - Archive ouverte HAL
Pré-Publication, Document De Travail Année : 2017

Explicit expression for the stationary distribution of reflected brownian motion in a wedge

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 polyno-mials. To that purpose we solve a Carleman-type boundary value problem on a hyperbola, satisfied by the Laplace transforms of the boundary stationary distribution.
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Dates et versions

hal-01495788 , version 1 (26-03-2017)
hal-01495788 , version 2 (22-01-2018)
hal-01495788 , version 3 (15-02-2019)

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Citer

Sandro Franceschi, Kilian Raschel. Explicit expression for the stationary distribution of reflected brownian motion in a wedge. 2017. ⟨hal-01495788v1⟩
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