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

DOI10.1016/J.INDAG.2022.10.008zbMATH Open1522.35353arXiv2206.12859OpenAlexW4307726669MaRDI QIDQ6135881FDOQ6135881

Authors: Guy Fayolle, Sandro Franceschi, Kilian Raschel 

Publication date: 28 August 2023

Published in: Indagationes Mathematicae. New Series (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/2206.12859

Recommendations

• Tutte's invariant approach for Brownian motion reflected in the quadrant
• Integral expression for the stationary distribution of reflected Brownian motion in a wedge
• Asymptotic expansion of stationary distribution for reflected Brownian motion in the quarter plane via analytic approach
• The stationary distribution of reflected Brownian motion in a planar region
• Reflected Brownian motion in the quarter plane: an equivalence based on time reversal

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)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Two coupled processors: The reduction to a Riemann-Hilbert problem
• Title not available (Why is that?)
• Reflected Brownian motion on an orthant
• Open Queueing Networks in Heavy Traffic
• Brownian models of open queueing networks with homogeneous customer populations^∗
• Title not available (Why is that?)
• Brownian motion in a wedge with oblique reflection
• Random walks in the quarter plane. Algebraic methods, boundary value problems, applications to queueing systems and analytic combinatorics
• Reflected Brownian motion in an orthant: Numerical methods for steady- state analysis
• Reflecting Brownian motion in two dimensions: exact asymptotics for the stationary distribution
• Title not available (Why is that?)
• Reflected brownian motion in a wedge: Semimartingale property
• On the Distribution of Multidimensional Reflected Brownian Motion
• Square lattice walks avoiding a quadrant
• Enumeration of walks with small steps avoiding a quadrant
• On walks avoiding a quadrant
• Non-D-finite walks in a three-quadrant cone
• Integral expression for the stationary distribution of reflected Brownian motion in a wedge
• Discrete harmonic functions in the three-quarter plane
• Analysis of Models Reducible to a Class of Diffusion Processes in the Positive Quarter Plane
• Degenerate competing three-particle systems

Cited In (3)

• Brownian Motion on So(3) Factorises in Fock Space
• Tutte's invariant approach for Brownian motion reflected in the quadrant
• Title not available (Why is that?)

This page was built for publication: Stationary Brownian motion in a \(3 / 4\)-plane: reduction to a Riemann-Hilbert problem via Fourier transforms

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6135881)