Asymptotic behavior of the occupancy density for obliquely reflected Brownian motion in a half-plane and Martin boundary

DOI10.1214/21-AAP1681MaRDI QIDQ2075337zbMATH OpenOpenAlexFDO

Authors Philip Ernst, Sandro Franceschi

Publication date 14 February 2022

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2004.06968

zbMATH Keywords

Laplace transformGreen's functionMartin boundarystationary distributionsaddle-point methodexact asymptoticsobliquely reflected Brownian motion in a half-planeoccupancy density

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Queues and service in operations research (90B22) Queueing theory (aspects of probability theory) (60K25) Brownian motion (60J65) Functional equations in the complex plane, iteration and composition of analytic functions of one complex variable (30D05)

Abstract: Let $pi$ be the occupancy density of an obliquely reflected Brownian motion in the half plane and let ($ho$, $alpha$) be the polar coordinates of a point in the upper half plane. This work determines the exact asymptotic behavior of $pi$($ho$, $alpha$) as $ho$ $ightarrow$ $infty$ with $alpha$ $in$ (0, $pi$). We find explicit functions a, b, c such that $pi$($ho$, $alpha$) $sim$ $ho$$ightarrow$$infty$ a($alpha$)$ho$ b($alpha$) e --c($alpha$)$ho$. This closes an open problem first stated by Professor J. Michael Harrison in August 2013. We also compute the exact asymptotics for the tail distribution of the boundary occupancy measure and we obtain an explicit integral expression for $pi$. We conclude by finding the Martin boundary of the process and giving all of the corresponding harmonic functions satisfying an oblique Neumann boundary problem.

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Cited in

(3)

• Asymptotics for the Green's functions of a transient reflected Brownian motion in a wedge
• Tail asymptotics in any direction of the stationary distribution in a two-dimensional discrete-time QBD process
• Occupation densities for SPDEs with reflection.

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