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

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

2007-12-05

arxiv.org/abs/0712.0844v2

Electronic Communications in Probability, 14, p. 1-16, 2009

Mathematics

Probability

Scientific paper

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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