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

A. B. Dieker; J. Moriarty

doi:10.1214/ECP.v14-1437

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

A. B. Dieker, J. Moriarty

Research output: Contribution to journal › Article › peer-review

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.

Original language	English
Pages (from-to)	0-16
Number of pages	16
Journal	Electronic Communications in Probability
Volume	14
DOIs	https://doi.org/10.1214/ECP.v14-1437
Publication status	Published - 12 Jan 2009

Keywords

Reflected Brownian motion with drift
Reflection principle
Stationary distribution

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10.1214/ECP.v14-1437

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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.",

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AU - Moriarty, J.

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AB - 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.

KW - Reflected Brownian motion with drift

KW - Reflection principle

KW - Stationary distribution

U2 - 10.1214/ECP.v14-1437

DO - 10.1214/ECP.v14-1437

M3 - Article

VL - 14

SP - 0

EP - 16

JO - Electronic Communications in Probability

JF - Electronic Communications in Probability

ER -

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

Abstract

Keywords

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