Recurrence classification and invariant measure for reflected Brownian motion in a wedge (Q1078925): Difference between revisions

The paper studies the behaviour (in terms of fine recurrence or transience) of reflected Brownian motion in a two-dimensional wedge with constant direction of reflection on each side of the wedge. Let \(\xi\) be the angle of the wedge, let \(\theta_ 1,\theta_ 2\) be the angles of reflection on the two sides of the wedge \((-\pi /2\leq \theta_ 1,\theta_ 2\leq \pi /2)\). Put \(\alpha =(\theta_ 1+\theta_ 2)/\xi\). Previously, it was proved by \textit{S. R. S. Varadhan} and the author [Commun. Pure Appl. Math. 38, 405-443 (1985; Zbl 0579.60082)] that there exists, starting from any point of the wedge, a unique diffusion admitting the Laplacian as generator, living in the wedge, satisfying the above condition, if and only if \(\alpha <2.\) Here it is proved that the reflected Brownian motion is (finely) transient if \(\alpha <0\), finely recurrent if \(0\leq \alpha <2\). In the latter case, the author proves uniqueness of the invariant measure \(\mu\) and calculates its density: in polar coordinates, \(p(r,\theta)=r^{- \alpha} \cos (\alpha \theta -\theta_ 1).\) Uniqueness follows from a result of \textit{J. Azema}, \textit{H. Kaplan-Duflo} and \textit{D. Revuz} [Z. Wahrscheinlichkeitstheor. Verw. Geb. 8, 157-181 (1967; Zbl 0178.203); Ann. Inst. Henri Poincaré, Sect. B 2, 185-220 (1966; Zbl 0182.511)]. To find the density of the invariant measure, the following very ingenious device is used: one chooses an approximating sequence of smooth domains inside the wedge, with associated smooth vector fields on their boundaries. The sequence is chosen such that, for each domain, the Brownian motion with oblique reflection in the direction of the associated vector fields \(v_ j\) on the boundary has \(\mu\) as an invariant measure, and such that invariance of \(\mu\) results for the process when taking appropriate weak limits.