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math.PR2022

Stationary Brownian motion in a 3/4-plane: Reduction to a Riemann-Hilbert problem via Fourier transforms

Guy Fayolle, Sandro Franceschi, Kilian Raschel

The stationary reflected Brownian motion in a three-quarter plane has been rarely analyzed in the probabilistic literature, in comparison with the quarter plane analogue model. In…