Stationary distributions for two-dimensional sticky Brownian motions: exact tail asymptotics and extreme value distributions (Q2243570): Difference between revisions

A sticky Brownian motion on the half-line is a diffusion process that behaves like a Brownian motion everywhere except the origin, and it can be viewed as a time change of a semimartingale reflecting Brownian motion. Multidimensional sticky Brownian motions are a natural extension of sticky Brownian motions of the half-line. This paper focuses on stationary distributions for two-dimensional sticky Brownian motions. The authors study, under a stability condition, tail asymptotic results (Theorem 4.2) for the boundary stationary distribution and for the marginal stationary distributions, for a two-dimensional time-changed semimartingale reflecting Brownian motion. In Theorem 5.1, the main result of this paper, the authors discuss the tail behavior of the joint stationary distribution using a combination of the extreme value theory and the copula concept.