Related papers: Reflected Brownian Motion with Drift in a Wedge

We study a Brownian motion with drift in a wedge of angle $\beta$ which is obliquely reflected on each edge along angles $\varepsilon$ and $\delta$. We assume that the classical parameter $\alpha=\frac{\delta+\varepsilon - \pi}{\beta}$ is…

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…

We study exclusion processes on the integer lattice in which particles change their velocities due to stickiness. Specifically, whenever two or more particles occupy adjacent sites, they stick together for an extended period of time, and…

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…

We study a correlated Brownian motion in two dimensions, which is reflected, stopped or killed in a wedge represented as the intersection of two half spaces. First, we provide explicit density formulas, hinted by the method of images. These…

We study the stationary reflected Brownian motion in a non-convex wedge, which, compared to its convex analogue model, has been much rarely analyzed in the probabilistic literature. We prove that its stationary distribution can be found by…

For Brownian motion in a (two-dimensional) wedge with negative drift and oblique reflection on the axes, we derive an explicit formula for the Laplace transform of its stationary distribution (when it exists), in terms of Cauchy integrals…

Prompted by an example arising in critical percolation, we study some reflected Brownian motions in symmetric planar domains and show that they are intertwined with one-dimensional diffusions. In the case of a wedge, the reflected Brownian…

We prove the existence of the reflected diffusion on a complex of an arbitrary size for a large class of planar simple nested fractals. Such a process is obtained as a folding projection of the free Brownian motion from the unbounded…

We consider the estimation of the drift and the level sets of the stationary distri- bution of a Brownian motion with drift, reflected in the boundary of a compact set $S\subset R^d$ , departing from the observation of a trajectory of this…

We present a self-contained proof of the reflection principle for Brownian Motion.

We consider the Skorokhod problem in a time-varying interval. We prove existence and uniqueness for the solution. We also express the solution in terms of an explicit formula. Moving boundaries may generate singularities when they touch. We…

We study solutions of a class of one-dimensional continuous reflected backward stochastic Volterra integral equations driven by Brownian motion, where the reflection keeps the solution above a given stochastic process (lower obstacle). We…

We develop a new method to determine the acceleration of a block sliding down along the face of a moving wedge. We have been able to link the solution of this problem to that of the inclined plane problem of elementary physics, thus…

In this paper, we study the reflected solutions of one-dimensional backward stochastic differential equations driven by G-Brownian motion (RGBSDE for short). The reflection keeps the solution above a given stochastic process. In order to…

Consider an multidimensional obliquely reflected Brownian motion in the positive orthant, or, more generally, in a convex polyhedral cone. We find sufficient conditions for existence of a stationary distribution and convergence to this…

Reflected Brownian motion (RBM) in a wedge is a 2-dimensional stochastic process Z whose state space in R^2 is given in polar coordinates by S={(r,theta): r >= 0, 0 <= theta <= xi} for some 0 < xi < 2 pi. Let alpha= (theta_1+theta_2)/xi,…

This work contributes a systematic survey and complementary insights of reflecting Brownian motion and its properties. Extension of the Skorohod problem's solution to more general cases is investigated, based on which a discussion is…

We consider the classical problem of determining the stationary distribution of the semimartingale reflected Brownian motion (SRBM) in a two-dimensional wedge. Under standard assumptions on the parameters of the model (opening of the wedge,…

We systematically develop general tools to apply Fukushima's absolute continuity condition. These tools comprise methods to obtain a Hunt process on a locally compact separable metric state space whose transition function has a density…