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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

Abstract

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.

Citation

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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. https://doi.org/10.1214/ECP.v14-1437

Information

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

Subjects:
Primary: 60J65
Secondary: 60J60, 60K25

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