A two-dimensional oblique extension of Bessel processes
Probability
2016-11-24 v2
Abstract
We consider a Brownian motion forced to stay in the quadrant by an electrostatic oblique repulsion from the sides. We tackle the question of hitting the corner or an edge, and find product-form stationary measures under a certain condition, which is reminiscent of the skew-symmetry condition for an obliquely reflected Brownian motion.
Keywords
Cite
@article{arxiv.1506.05591,
title = {A two-dimensional oblique extension of Bessel processes},
author = {Dominique Lepingle},
journal= {arXiv preprint arXiv:1506.05591},
year = {2016}
}
Comments
arXiv admin note: text overlap with arXiv:1208.6399