Stationary Brownian motion in a \(3 / 4\)-plane: reduction to a Riemann-Hilbert problem via Fourier transforms
DOI10.1016/j.indag.2022.10.008zbMath1522.35353arXiv2206.12859MaRDI QIDQ6135881
Sandro Franceschi, Guy Fayolle, Kilian Raschel
Publication date: 28 August 2023
Published in: Indagationes Mathematicae. New Series (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2206.12859
Laplace transform; boundary value problem; stationary distribution; non-convex cone; obliquely reflected Brownian motion in a wedge
60J65: Brownian motion
35R10: Partial functional-differential equations
44A10: Laplace transform
42A38: Fourier and Fourier-Stieltjes transforms and other transforms of Fourier type
35R60: PDEs with randomness, stochastic partial differential equations
35Q15: Riemann-Hilbert problems in context of PDEs
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Square lattice walks avoiding a quadrant
- Reflected Brownian motion on an orthant
- Reflected Brownian motion in an orthant: Numerical methods for steady- state analysis
- Discrete harmonic functions in the three-quarter plane
- Degenerate competing three-particle systems
- On walks avoiding a quadrant
- Integral expression for the stationary distribution of reflected Brownian motion in a wedge
- Non-D-finite walks in a three-quadrant cone
- Random Walks in the Quarter Plane
- Reflected brownian motion in a wedge: Semimartingale property
- Open Queueing Networks in Heavy Traffic
- Brownian motion in a wedge with oblique reflection
- Brownian models of open queueing networks with homogeneous customer populations∗
- Analysis of Models Reducible to a Class of Diffusion Processes in the Positive Quarter Plane
- On the Distribution of Multidimensional Reflected Brownian Motion
- Two coupled processors: The reduction to a Riemann-Hilbert problem
- Reflecting Brownian motion in two dimensions: Exact asymptotics for the stationary distribution
- Enumeration of walks with small steps avoiding a quadrant