Reflected Brownian Motion in a Wedge: Sum-of-exponential Stationary Densities
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چکیده
We give necessary and sufficient conditions for the stationary density of semimartingale reflected Brownian motion in a wedge to be written as a finite sum of terms of exponential product form. Relying on geometric ideas reminiscent of the reflection principle, we give an explicit formula for the density in such cases.
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تاریخ انتشار 2007