Reflected Brownian motion with drift in a wedge
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...
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Veröffentlicht in: | Queueing systems 2023-12, Vol.105 (3-4), p.233-270 |
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Hauptverfasser: | , , |
Format: | Artikel |
Sprache: | eng |
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Online-Zugang: | Volltext |
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Zusammenfassung: | 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. |
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ISSN: | 0257-0130 1572-9443 |
DOI: | 10.1007/s11134-023-09893-9 |