{
  "id": "1604.02918",
  "version": "v1",
  "published": "2016-04-11T12:42:03.000Z",
  "updated": "2016-04-11T12:42:03.000Z",
  "title": "Asymptotic expansion of stationary distribution for reflected brownian motion in the quarter plane via analytic approach",
  "authors": [
    "S Franceschi",
    "I Kurkova"
  ],
  "categories": [
    "math.PR"
  ],
  "abstract": "Brownian motion in R 2 + with covariance matrix $\\Sigma$ and drift in the interior and reflection matrix R from the axes is considered. The asymptotic expansion of the stationary distribution density along all paths in R 2 + is found and its main term is identified depending on parameters ($\\Sigma$, R). For this purpose the analytic approach of Fayolle, Iasnogorodski and Malyshev in [12] and [32], restricted essentially up to now to discrete random walks in Z 2 + with jumps to the nearest-neighbors in the interior is developed in this article for diffusion processes on R 2 + with reflections on the axes.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2016-04-11T12:42:03.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "reflected brownian motion",
      "asymptotic expansion",
      "analytic approach",
      "quarter plane",
      "stationary distribution density"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2016arXiv160402918F"
    }
  }
}