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Journal articles
Asymptotic expansion of stationary distribution for reflected Brownian motion in the quarter plane via analytic approach
Abstract : Brownian motion in R 2 + with covariance matrix Σ and drift μ in the interior and reflection matrix R from the axes is considered. The asymptotic expansion of the stationary distribution density along all paths in R 2 + is found and its main term is identified depending on parameters (Σ, μ, R). For this purpose the analytic approach of Fayolle, Iasnogorodski and Malyshev in [12] and [36], restricted essentially up to now to discrete random walks in Z 2 + with jumps to the nearest-neighbors in the interior is developed in this article for diffusion processes on R 2 + with reflections on the axes.
https://hal.archives-ouvertes.fr/hal-01295562
Contributor : Sandro Franceschi <>
Submitted on : Monday, April 3, 2017 - 9:17:03 PM
Last modification on : Friday, March 27, 2020 - 3:57:20 AM
Document(s) archivé(s) le : Tuesday, July 4, 2017 - 2:52:06 PM
Contributor : Sandro Franceschi <>
Submitted on : Monday, April 3, 2017 - 9:17:03 PM
Last modification on : Friday, March 27, 2020 - 3:57:20 AM
Document(s) archivé(s) le : Tuesday, July 4, 2017 - 2:52:06 PM
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