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math.PR2022★ 5 cited
A dual skew symmetry for transient reflected Brownian motion in an orthant
Sandro Franceschi, Kilian Raschel
We introduce a transient reflected Brownian motion in a multidimensional orthant, which is either absorbed at the apex of the cone or escapes to infinity. We address the question o…
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…