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

By Antonius B. Dieker, J. Moriarty. 2007

55 citations recorded by the source corpus.

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.

Subfields: Finance, Mathematical Physics, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/0020b10cdbfdd31cfbe0f0072dda8d057c153aa4

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Weining Kang
2. Jim G. Dai
3. Kavita Ramanan

In Mathematical Physics

1. Weining Kang
2. Jim G. Dai
3. Masakiyo Miyazawa
4. Kavita Ramanan
5. Daniel Paulin
6. Radosław Adamczak

In Statistics and Probability

1. Weining Kang
2. Jim G. Dai
3. Masakiyo Miyazawa
4. Kavita Ramanan
5. Lihu Xu
6. Daniel Paulin
7. Radosław Adamczak

Citations in the corpus

• Reflecting Brownian Motion in Two Dimensions: Exact Asymptotics for the Stationary Distribution (2011, background): “MR1143393 (92k:60191) [4] Dieker, A. B. and Moriarty, J. (2009).”
• Characterization of stationary distributions of reflected diffusions. (2012, background): “Solutions to the adjoint PDE have been identified for several classes of twodimensional RBMs with constant drift (see [14, 22, 35, 41, 49] and also Examples 4.”