Recurrence classification and invariant measure for reflected Brownian motion in a wedge
From MaRDI portal
Publication:1078925
DOI10.1214/aop/1176992907zbMath0596.60078OpenAlexW1982849815MaRDI QIDQ1078925
Publication date: 1985
Published in: The Annals of Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aop/1176992907
Continuous-time Markov processes on general state spaces (60J25) Brownian motion (60J65) Diffusion processes (60J60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)
Related Items
On positive recurrence of constrained diffusion processes ⋮ Conformal mapping solution of Laplace's equation on a polygon with oblique derivative boundary conditions ⋮ Reflected Brownian motion in the quadrant: Tail behavior of the stationary distribution ⋮ Mouvement brownien, cônes et processus stables. (Brownian motion, cones and stable processes) ⋮ Recurrence and transience of reflecting Brownian motion in the quadrant ⋮ Local time and excursions of reflected Brownian motion in a wedge ⋮ A new family of positive recurrent semimartingale reflecting Brownian motions in an orthant ⋮ Splitting Algorithms for Rare Events of Semimartingale Reflecting Brownian Motions ⋮ Green's functions with oblique Neumann boundary conditions in the quadrant ⋮ Brownian motion in a wedge with variable reflection: Existence and uniqueness ⋮ Tails of passage-times and an application to stochastic processes with boundary reflection in wedges ⋮ Reflecting Brownian motion in generalized parabolic domains: explosion and superdiffusivity ⋮ Reflected Brownian motion with drift in a wedge ⋮ Brownian Motion With Polar Drift ⋮ Conservativeness of non-symmetric diffusion processes generated by perturbed divergence forms ⋮ Reflecting Brownian Motion in a Cusp ⋮ Reflecting random walks in curvilinear wedges ⋮ Brownian Motion in a Wedge with Variable Skew Reflection ⋮ Escape and absorption probabilities for obliquely reflected Brownian motion in a quadrant ⋮ A time-reversed representation for the tail probabilities of stationary reflected Brownian motion. ⋮ Sur la récurrence positivedu mouvement brownien réflechidans l'orthant positif de ⋮ Characterization of stationary distributions of reflected diffusions ⋮ Hitting time of a corner for a reflected diffusion in the square ⋮ Dynamic routing in open queueing networks: Brownian models, cut constraints and resource pooling ⋮ Diffusion equation techniques in stochastic monotonicity and positive correlations ⋮ Integral expression for the stationary distribution of reflected Brownian motion in a wedge ⋮ The adjoint process of killed reflected Brownian motion in a cone and applications ⋮ Passage-time moments for nonnegative stochastic processes and an application to reflected random walks in a quadrant ⋮ A sufficient condition for the positive recurrence of a semimartingale reflecting Brownian motion in an orthant ⋮ On the roughness of the paths of RBM in a wedge ⋮ A dual skew symmetry for transient reflected Brownian motion in an orthant ⋮ A class of solvable multidimensional stopping problems in the presence of Knightian uncertainty ⋮ Exact tail asymptotics for a three-dimensional Brownian-driven tandem queue with intermediate inputs