53 citations · 489 across the 66 of their papers we have counts for
3 papers · 2 filters
Persistence for a class of order-one autoregressive processes and Mallows-Riordan polynomials
Gerold Alsmeyer, Alin Bostan, Kilian Raschel +1
We establish exact formulae for the persistence probabilities of an AR(1) sequence with symmetric uniform innovations in terms of certain families of polynomials, most notably a fa…
On the stationary distribution of reflected Brownian motion in a non-convex wedge
Guy Fayolle, Sandro Franceschi, Kilian Raschel
We study the stationary reflected Brownian motion in a non-convex wedge, which, compared to its convex analogue model, has been much rarely analyzed in the probabilistic literature…
On the stationary distribution of reflected Brownian motion in a wedge: differential properties
M. Bousquet-Mélou, A. Elvey Price, S. Franceschi +2
We consider the classical problem of determining the stationary distribution of the semimartingale reflected Brownian motion (SRBM) in a two-dimensional wedge. Under standard assum…