Brownian motion in the quadrant with oblique repulsion from the sides
Probability
2013-02-14 v2
Abstract
We consider the problem of strong existence and uniqueness of a Brownian motion forced to stay in the quadrant by an electrostatic repulsion from the sides that works obliquely. The results are reminiscent of the study of a Brownian motion with oblique reflection in a wedge. Actually, the same skew symmetry condition is involved when looking for a stationary distribution in product form. the terms of the product are now gamma distributions in place of exponential ones. An associate purely deterministic problem is also considered.
Cite
@article{arxiv.1208.6399,
title = {Brownian motion in the quadrant with oblique repulsion from the sides},
author = {Dominique Lépingle},
journal= {arXiv preprint arXiv:1208.6399},
year = {2013}
}