Reflected Brownian motion in a wedge: sum-of-exponential stationary densities

A. B. Dieker; J. Moriarty

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arXiv · 0712.0844

Reflected Brownian motion in a wedge: sum-of-exponential stationary densities

A. B. Dieker·J. Moriarty

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Abstract

We give necessary and sufficient conditions for the stationary density of semimartingale reflected Brownian motion in a wedge to be written as a finite sum of terms of exponential product form. Relying on geometric ideas reminiscent of the reflection principle, we give an explicit formula for the density in such cases.

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A. B. Dieker, J. Moriarty. 2008-12-22. Reflected Brownian motion in a wedge: sum-of-exponential stationary densities. https://arxiv.org/abs/0712.0844

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