A two-dimensional oblique extension of Bessel processes

Dominique Lepingle (1)

1 MAPMO - Mathématiques - Analyse, Probabilités, Modélisation - Orléans

We consider a Brownian motion forced to stay in the quadrant by an electrostatic oblique repulsion from the sides. We tackle the question of hitting the corner or an edge, and find product-form stationary measures under a certain condition, which is reminiscent of the skew-symmetry condition for an obliquely reflected Brownian motion.

Mots clés: oblique drift; Bessel Process; skew-symmetry condition

Domaines: Probabilités [math.PR]

Dominique Lepingle. A two-dimensional oblique extension of Bessel processes. 2016. ⟨hal-01164920v2⟩