Stationary Brownian motion in a 3 / 4-plane: reduction to a Riemann-Hilbert problem via Fourier transforms

DOI10.1016/J.INDAG.2022.10.008MaRDI QIDQ6135881zbMATH OpenOpenAlexFDO

Authors Guy Fayolle, Sandro Franceschi, 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

zbMATH Keywords

Laplace transformboundary value problemstationary distributionnon-convex coneobliquely reflected Brownian motion in a wedge

Mathematics Subject Classification ID

Brownian motion (60J65) Riemann-Hilbert problems in context of PDEs (35Q15) Partial functional-differential equations (35R10) PDEs with randomness, stochastic partial differential equations (35R60) Fourier and Fourier-Stieltjes transforms and other transforms of Fourier type (42A38) Laplace transform (44A10)

Abstract: The stationary reflected Brownian motion in a three-quarter plane has been rarely analyzed in the probabilistic literature, in comparison with the quarter plane analogue model. In this context, our main result is to prove that the stationary distribution can indeed be found by solving a boundary value problem of the same kind as the one encountered in the quarter plane, up to various dualities and symmetries. The main idea is to start from Fourier (and not Laplace) transforms, allowing to get a functional equation for a single function of two complex variables.

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Cited in

(3)

• Brownian Motion on So(3) Factorises in Fock Space
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