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

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.

References in corpus (2)

• Reflected planar Brownian motions, intertwining relations and crossing probabilities
• Determinantal transition kernels for some interacting particles on the line