A two-dimensional oblique extension of Bessel processes

Dominique Lepingle

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arXiv · 1506.05591

A two-dimensional oblique extension of Bessel processes

Dominique Lepingle

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Abstract

We consider a Brownian motion forced to stay in the quadrant by an electrostatic oblique repulsion from the sides. We tackle the question of hitting the corner or an edge, and find product-form stationary measures under a certain condition, which is reminiscent of the skew-symmetry condition for an obliquely reflected Brownian motion.

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Dominique Lepingle. 2015-06-18. A two-dimensional oblique extension of Bessel processes. https://arxiv.org/abs/1506.05591

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