A two-dimensional oblique extension of Bessel processes

zbMath1379.60060arXiv1506.05591MaRDI QIDQ4596936

Dominique Lépingle

Publication date: 11 December 2017

Full work available at URL: https://arxiv.org/abs/1506.05591

zbMATH Keywords

Bessel processsingular stochastic differential equationproduct form stationary distributionelectrostatic repulsionskew-symmetry conditionobliquely reflected Brownian motion

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (4)

Log-Sobolev inequalities for semi-direct product operators and applications ⋮ Green's functions with oblique Neumann boundary conditions in the quadrant ⋮ Integral expression for the stationary distribution of reflected Brownian motion in a wedge ⋮ A dual skew symmetry for transient reflected Brownian motion in an orthant

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