Reflected Brownian motion in a wedge: sum-of-exponential stationary densities

التفاصيل البيبلوغرافية
العنوان: Reflected Brownian motion in a wedge: sum-of-exponential stationary densities
المؤلفون: Dieker, A. B., Moriarty, J.
المصدر: Electronic Communications in Probability, 14, p. 1-16, 2009
سنة النشر: 2007
المجموعة: Mathematics
مصطلحات موضوعية: Mathematics - Probability, 60J65, 60J60, 60K25
الوصف: 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.
نوع الوثيقة: Working Paper
URL الوصول: http://arxiv.org/abs/0712.0844
رقم الأكسشن: edsarx.0712.0844
قاعدة البيانات: arXiv