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
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