 |
Free and accessible knowledge |
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 Connect in order to contact the contributor
Submitted on : Monday, April 3, 2017 - 9:17:03 PM
Last modification on : Tuesday, January 11, 2022 - 5:56:09 PM
Long-term archiving on: : Tuesday, July 4, 2017 - 2:52:06 PM
Contributor : Sandro Franceschi Connect in order to contact the contributor
Submitted on : Monday, April 3, 2017 - 9:17:03 PM
Last modification on : Tuesday, January 11, 2022 - 5:56:09 PM
Long-term archiving on: : Tuesday, July 4, 2017 - 2:52:06 PM
Files
franceschikurkova.pdf
Files produced by the author(s)