Invariant measures for transient reflected Brownian motion in a wedge: Existence and uniqueness (Q1319952)

The paper deals with the study of the existence and uniqueness of invariant measures for transient reflected Brownian motion (RBM) in a wedge. In Section 1 the general problem is discussed and some previous results are presented. In Section 2 it is proved that \(r^{-\alpha} \cos (\alpha \theta-\theta_ 1)\), \(re^{i \theta} \in S \backslash \{0\}\), is the density of an invariant measure for RBM in \(S\) if \(\alpha<0\). It is shown that Lebesgue measure is an invariant measure for killed RBM in \(S\) if \(\alpha>0\). In the next section the author proves that Lebesgue measure is not an invariant measure for RBM in \(S\) when \(\alpha<0\). Also, it is shown that if \(\alpha>0\), then \(r^{-\alpha} \cos (\alpha \theta- \theta_ 1)\) on \(S \backslash \{0\}\) is not the density of an invariant measure for killed RBM in \(S\). In Section 4 some properties of RBM in \(S\) are established and in the last section the following theorems are proved: Theorem (1.1). Let \(\alpha<0\). (i) In polar coordinates the function \(q(r,\theta)=r^{-\alpha} \cos (\alpha \theta-\theta_ 1)\) is the density of an invariant measure for RBM in \(S\). (ii) Let \(m\) be an invariant measure for RBM in \(S\). If \(m\) has a \(C^ 1(S \backslash \{0\})\) density, then the density is a positive multiple of \(q\). Theorem (1.2). Let \(\alpha>0\). (i) Lebesgue measure \(\lambda\) is an invariant measure for killed RBM in \(S\). (ii) Let \(m\) be an invariant measure on \((S \backslash \{0\})\), Borel \((S \backslash \{0\})\) for killed RBM in \(S\). If \(m\) has a \(C^ 1(S \backslash \{0\})\) density \(p\) such that for some real \(M>0\), \(p(z) \leq | z |^ M\) as \(| z | \to \infty\), then \(p\) is constant.