Green's functions with oblique Neumann boundary conditions in the quadrant
From MaRDI portal
Publication:2664522
Abstract: We study semi-martingale obliquely reflected Brownian motion with drift in the first quadrant of the plane in the transient case. Our main result determines a general explicit integral expression for the moment generating function of Green's functions of this process. To that purpose we establish a new kernel functional equation connecting moment generating functions of Green's functions inside the quadrant and on its edges. This is reminiscent of the recurrent case where a functional equation derives from the basic adjoint relationship which characterizes the stationary distribution. This equation leads us to a non-homogeneous Carleman boundary value problem. Its resolution provides a formula for the moment generating function in terms of contour integrals and a conformal mapping.
Recommendations
- Integral expression for the stationary distribution of reflected Brownian motion in a wedge
- Escape and absorption probabilities for obliquely reflected Brownian motion in a quadrant
- scientific article; zbMATH DE number 1054349
- Lyapunov functions for semimartingale reflecting Brownian motions
- Tutte's invariant approach for Brownian motion reflected in the quadrant
Cites work
- A sufficient condition for the positive recurrence of a semimartingale reflecting Brownian motion in an orthant
- A two-dimensional oblique extension of Bessel processes
- An analytical method in the theory of two-dimensional positive random walks
- Analysis of Models Reducible to a Class of Diffusion Processes in the Positive Quarter Plane
- Asymptotic expansion of stationary distribution for reflected Brownian motion in the quarter plane via analytic approach
- Atlas models of equity markets
- Basic adjoint relation for transient and stationary analysis of some Markov processes
- Brownian models of open queueing networks with homogeneous customer populations∗
- Brownian motion in a wedge with oblique reflection
- Counting quadrant walks via Tutte's invariant method (extended abstract)
- Equilibria for diffusion models of pairs of communicating computers--Symmetric case
- scientific article; zbMATH DE number 3483636 (Why is no real title available?)
- scientific article; zbMATH DE number 1214061 (Why is no real title available?)
- scientific article; zbMATH DE number 1245556 (Why is no real title available?)
- scientific article; zbMATH DE number 1561670 (Why is no real title available?)
- scientific article; zbMATH DE number 786517 (Why is no real title available?)
- scientific article; zbMATH DE number 3227290 (Why is no real title available?)
- scientific article; zbMATH DE number 3290816 (Why is no real title available?)
- Hybrid Atlas models
- Infinite systems of competing Brownian particles
- Integral expression for the stationary distribution of reflected Brownian motion in a wedge
- Lyapunov functions for semimartingale reflecting Brownian motions
- Mesure invariante sur les classes r�currentes des processus de Markov
- Mouvement brownien, cônes et processus stables. (Brownian motion, cones and stable processes)
- Multidimensional reflected Brownian motions having exponential stationary distributions
- Multiple collisions in systems of competing Brownian particles
- Obliquely reflected Brownian motion in nonsmooth planar domains
- On the Distribution of Multidimensional Reflected Brownian Motion
- On the functions counting walks with small steps in the quarter plane
- Open Queueing Networks in Heavy Traffic
- Positive recurrence for reflecting Brownian motion in higher dimensions
- Positive recurrence of reflecting Brownian motion in three dimensions
- Random walks in ( Z_+)^2 with non-zero drift absorbed at the axes
- Random walks in the quarter plane, discrete harmonic functions and conformal mappings
- Random walks in the quarter plane. Algebraic methods, boundary value problems, applications to queueing systems and analytic combinatorics
- Recurrence and transience of reflecting Brownian motion in the quadrant
- Recurrence classification and invariant measure for reflected Brownian motion in a wedge
- Reflected Brownian motion in a convex polyhedral cone: tail estimates for the stationary distribution
- Reflected brownian motion in a wedge: Semimartingale property
- Reflected Brownian motion in a wedge: sum-of-exponential stationary densities
- Reflected Brownian motion in an orthant: Numerical methods for steady- state analysis
- Reflected Brownian motion in generic triangles and wedges
- Reflected Brownian motion in the quadrant: Tail behavior of the stationary distribution
- Reflected Brownian motion on an orthant
- Reflected planar Brownian motions, intertwining relations and crossing probabilities
- Reflecting Brownian motion in three dimensions: a new proof of sufficient conditions for positive recurrence
- Reflecting Brownian motion in two dimensions: exact asymptotics for the stationary distribution
- Stationary distribution of a two-dimensional SRBM: geometric views and boundary measures
- Tutte's invariant approach for Brownian motion reflected in the quadrant
- Two coupled processors: The reduction to a Riemann-Hilbert problem
- Walks with small steps in the quarter plane
Cited in
(7)- A dual skew symmetry for transient reflected Brownian motion in an orthant
- Green and Neumann Functions for Strips
- scientific article; zbMATH DE number 1766615 (Why is no real title available?)
- Asymptotics for the Green's functions of a transient reflected Brownian motion in a wedge
- Optimal gradient regularity to degenerate fully nonlinear elliptic models with oblique boundary condition
- Martin boundary of a space-time Brownian motion with drift killed at the boundary of a moving cone
- A classification of asymptotic behaviors of Green functions of random walks in the quadrant
This page was built for publication: Green's functions with oblique Neumann boundary conditions in the quadrant
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2664522)
