相关论文: Probability of total domination for transient refl…
We consider an obliquely reflected Brownian motion $Z$ with positive drift in a quadrant stopped at time $T$, where $T:=\inf \{ t>0 : Z(t)=(0,0) \}$ is the first hitting time of the origin. Such a process can be defined even in the…
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 provide integral formulae for the Laplace transform of the entrance law of the reflected excursions for symmetric L\'evy processes in terms of their characteristic exponent. For subordinate Brownian motions and stable processes we…
We consider a L\'evy process reflected at the origin with additional i.i.d. collapses that occur at Poisson epochs, where a collapse is a jump downward to a state which is a random fraction of the state just before the jump. We first study…
We introduce a transient reflected Brownian motion in a multidimensional orthant, which is either absorbed at the apex of the cone or escapes to infinity. We address the question of computing the absorption probability, as a function of the…
In this note, we consider the construction of a one-dimensional stable Langevin type process confined in the upper half-plane and submitted to reflective-diffusive boundary conditions whenever the particle position hits 0. We show that two…
We study a combination of the refracted and reflected L\'evy processes. Given a spectrally negative L\'evy process and two boundaries, it is reflected at the lower boundary while, whenever it is above the upper boundary, a linear drift at a…
Consider a Langevin process, that is an integrated Brownian motion, constrained to stay on the nonnegative half-line by a partially elastic boundary at 0. If the elasticity coefficient of the boundary is greater than or equal to a critical…
We consider a Brownian motion with drift in the quarter plane with orthogonal reflection on the axes. The Laplace transform of its stationary distribution satisfies a functional equation, which is reminiscent from equations arising in the…
We investigate the unique stationary measure of a positive recurrent reflecting Brownian motion in the upper half-plane, where the direction of reflection is constant on each half-axis. The Laplace transform of the stationary distribution…
We formulate an optimal switching problem when the underlying filtration is generated by a marked point process and a Brownian motion. Each mode is characterized by a different compensator for the point process, and thus by a different…
We study a simple singular control problem for a Brownian motion with constant drift and variance reflected at the origin. Exerting control pushes the process towards the origin and generates a concave increasing state-dependent yield which…
We investigate time-dependent probability for a Brownian particle passing over the barrier to stay at a metastable potential pocket against escaping over the barrier. This is related to whole fusion-fission dynamical process and can be…
This paper develops the first class of algorithms that enable unbiased estimation of steady-state expectations for multidimensional reflected Brownian motion. In order to explain our ideas, we first consider the case of compound Poisson…
Motivated by L\'{e}vy's characterization of Brownian motion on the line, we propose an analogue of Brownian motion that has as its state space an arbitrary closed subset of the line that is unbounded above and below: such a process will be…
We derive a semi-analytic formula for the transition probability of three-dimensional Brownian motion in the positive octant with absorption at the boundaries. Separation of variables in spherical coordinates leads to an eigenvalue problem…
This paper provides a multivariate extension of Bertoin's pathwise construction of a L\'evy process conditioned to stay positive/negative. Thus obtained processes conditioned to stay in half-spaces are closely related to the original…
We prove asymptotic behaviour of transition density for a large class of spectrally one-sided L\'evy processes of unbounded variation satisfying mild condition imposed on the second derivative of the Laplace exponent, or equivalently, on…
In this paper we analyze a L\'evy process reflected at a general (possibly random) barrier. For this process we prove Central Limit Theorem for the first passage time. We also give the finite-time first passage probability asymptotics.
We calculate the exact asymptotic survival probability, Q, of a one-dimensional Brownian particle, initially located located at the point x in (-L,L), in the presence of two moving absorbing boundaries located at \pm(L+ct). The result is…