Escape and absorption probabilities for obliquely reflected Brownian motion in a quadrant

DOI10.1016/j.spa.2021.06.003zbMath1476.60143arXiv2101.01246OpenAlexW3119446476MaRDI QIDQ2239272

Sandro Franceschi, Dongzhou Huang, Philip A. Ernst

Publication date: 3 November 2021

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2101.01246

zbMATH Keywords

asymptoticsfunctional equationCarleman boundary value problemNeumann's conditionescape and absorption probabilityobliquely reflected Brownian motion in a quadrant

Mathematics Subject Classification ID

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

Related Items (2)

Reflected Brownian motion in the quarter plane: an equivalence based on time reversal ⋮ A dual skew symmetry for transient reflected Brownian motion in an orthant

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