Stationary distributions for two-dimensional sticky Brownian motions: exact tail asymptotics and extreme value distributions (Q2243570): Difference between revisions
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English | Stationary distributions for two-dimensional sticky Brownian motions: exact tail asymptotics and extreme value distributions |
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Stationary distributions for two-dimensional sticky Brownian motions: exact tail asymptotics and extreme value distributions (English)
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11 November 2021
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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.
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sticky Brownian motion
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queueing model
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stationary distribution
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exact tail asymptotic
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kernel method
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extreme value distribution
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