| Título: | Reflected Brownian motion in a wedge: sum-of-exponential stationary densities |
| Autores: |
Dieker, A.B.; Georgia Institute of Technology Moriarty, J.; University of Manchester |
| Fecha: | 2009-01-01 |
| Publicador: | Electronic communications in probability |
| Fuente: |
 |
| Tipo: |
Peer-reviewed Article |
| Tema: |
Reflected Brownian motion with drift -- stationary distribution -- reflection principle 60J65, 60J60, 60K25 |
| Descripción: | 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. |
| Idioma: | No aplica |
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