A two-dimensional oblique extension of Bessel processes

zbMATH Open1379.60060arXiv1506.05591MaRDI QIDQ4596936FDOQ4596936

Authors: Dominique Lépingle 

Publication date: 11 December 2017

Abstract: We consider a Brownian motion forced to stay in the quadrant by an electrostatic oblique repulsion from the sides. We tackle the question of hitting the corner or an edge, and find product-form stationary measures under a certain condition, which is reminiscent of the skew-symmetry condition for an obliquely reflected Brownian motion.

Full work available at URL: https://arxiv.org/abs/1506.05591

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zbMATH Keywords

Bessel processsingular stochastic differential equationproduct form stationary distributionelectrostatic repulsionskew-symmetry conditionobliquely reflected Brownian motion

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cited In (5)

• Projections of scaled Bessel processs
• Integral expression for the stationary distribution of reflected Brownian motion in a wedge
• Green's functions with oblique Neumann boundary conditions in the quadrant
• Log-Sobolev inequalities for semi-direct product operators and applications
• A dual skew symmetry for transient reflected Brownian motion in an orthant

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