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
Hauptverfasser: Lakner, Peter, Liu, Ziran, Reed, Josh
Format: Artikel
Sprache:eng
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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.
ISSN:0257-0130
1572-9443
DOI:10.1007/s11134-023-09893-9