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math.PR2016
Analytic approach for reflected Brownian motion in the quadrant
Sandro Franceschi, Irina Kourkova, Kilian Raschel
Random walks in the quarter plane are an important object both of combinatorics and probability theory. Of particular interest for their study, there is an analytic approach initia…
math.PR2016★ 1 cited
Asymptotic expansion of stationary distribution for reflected Brownian motion in the quarter plane via analytic approach
Sandro Franceschi, Irina Kourkova
Brownian motion in R 2 + with covariance matrix and drift in the interior and reflection matrix R from the axes is considered. The asymptotic expansion of the stationary di…