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

A.B. Dieker (Georgia Institute of Technology)
J. Moriarty (University of Manchester)

Abstract


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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Pages: 1-16

Publication Date: January 12, 2009

DOI: 10.1214/ECP.v14-1437

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