Multidimensional Sticky Brownian Motions: Tail Behaviour of the Joint Stationary Distribution
arXiv:1901.07529
Abstract
Sticky Brownian motions, as time-changed semimartingale reflecting Brownian motions, have various applications in many fields, including queuing theory and mathematical finance. In this paper, we are concerned about the stationary distributions of a multidimensional sticky Brownian motion, provided it is stable. We will study the large deviations principle for stationary distribution and the tail behaviour of the joint stationary distribution.
arXiv comment19 pages. arXiv admin note: substantial text overlap with arXiv:1806.04660
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