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Asymptotic expansion of stationary distribution for reflected Brownian motion in the quarter plane via analytic approach

Sandro Franceschi, UPMC
Irina Kourkova, UPMC

Brownian motion in \(\mathbf{R}_+^2\) with covariance matrix \(\Sigma\) and drift \(\mu\) in the interior and reflection matrix \(R\) from the axes is considered. The asymptotic expansion of the stationary distribution density along all paths in \(\mathbf{R}_+^2\) is found and its main term is identified depending on parameters \((\Sigma, \mu, R)\). For this purpose the analytic approach of Fayolle, Iasnogorodski and Malyshev in in [12] and [36], restricted essentially up to now to discrete random walks in \(\mathbf{Z}_+^2\) with jumps to the nearest-neighbors in the interior is developed in this article for diffusion processes on \(\mathbf{R}_+^2\) with reflections on the axes.

AMS 2000 subject classifications: Primary 60J65, 05A15, 37L40; secondary 60K25, 30F10, 30D05

Keywords: Reflected Brownian motion in the quarter plane, stationary distribution, Laplace transform, asymptotic analysis, saddle-point method, Riemann surface.

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Franceschi, Sandro, Kourkova, Irina, Asymptotic expansion of stationary distribution for reflected Brownian motion in the quarter plane via analytic approach, Stochastic Systems, 7, (2017), 1-63 (electronic). DOI: 10.1214/16-SSY218.


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