Details

Autor(en) / Beteiligte

• Lakner, Peter
• Liu, Ziran
• Reed, Josh

Titel

Reflected Brownian motion with drift in a wedge

Ist Teil von

• Queueing systems, 2023-12, Vol.105 (3-4), p.233-270

Ort / Verlag

New York: Springer US

Erscheinungsjahr

2023

Link zum Volltext

Quelle

Alma/SFX Local Collection

Beschreibungen/Notizen

• We study reflecting Brownian motion with drift constrained to a wedge in the plane. Our first set of results provides necessary and sufficient conditions for existence and uniqueness of a solution to the corresponding submartingale problem with drift, and show that its solution possesses the Markov and Feller properties. Next, we study a version of the problem with absorption at the vertex of the wedge. In this case, we provide a condition for existence and uniqueness of a solution to the problem and some results on the probability of the vertex being reached.