Open Access
2009 Reflected Brownian motion in a wedge: sum-of-exponential stationary densities
A.B. Dieker, J. Moriarty
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Electron. Commun. Probab. 14: 1-16 (2009). DOI: 10.1214/ECP.v14-1437


We give necessary and sufficient conditions for the stationary density of semimartingale reflected Brownian motion in a wedge to be written as a finite sum of terms of exponential product form. Relying on geometric ideas reminiscent of the reflection principle, we give an explicit formula for the density in such cases.


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A.B. Dieker. J. Moriarty. "Reflected Brownian motion in a wedge: sum-of-exponential stationary densities." Electron. Commun. Probab. 14 1 - 16, 2009.


Accepted: 12 January 2009; Published: 2009
First available in Project Euclid: 6 June 2016

zbMATH: 1190.60077
MathSciNet: MR2472171
Digital Object Identifier: 10.1214/ECP.v14-1437

Primary: 60J65
Secondary: 60J60 , 60K25

Keywords: Reflected Brownian motion with drift – stationary distribution – reflection principle

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