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Escape and absorption probabilities for obliquely reflected Brownian motion in a quadrant

Abstract : We consider an obliquely reflected Brownian motion Z with positive drift in a quadrant stopped at time T , where T := inf{t > 0 : Z(t) = (0, 0)} is the first hitting time of the origin. Such a process can be defined even in the non-standard case where the reflection matrix is not completely-S. We show that in this case the process has two possible behaviors: either it tends to infinity or it hits the corner (origin) in a finite time. Given an arbitrary starting point (u, v) in the quadrant, we consider the escape (resp. absorption) probabilities P (u,v) [T = ∞] (resp. P (u,v) [T < ∞]). We establish the partial differential equations and the oblique Neumann boundary conditions which characterize the escape probability and provide a functional equation satisfied by the Laplace transform of the escape probability. We then give asymptotics for the absorption probability in the simpler case where the starting point in the quadrant is (u, 0). We exhibit a remarkable geometric condition on the parameters which characterizes the case where the absorption probability has a product form and is exponential. We call this new criterion the dual skew symmetry condition due to its natural connection with the skew symmetry condition for the stationary distribution. We then obtain an explicit integral expression for the Laplace transform of the escape probability. We conclude by presenting exact asymptotics for the escape probability at the origin.
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https://hal.archives-ouvertes.fr/hal-03098303
Contributor : Sandro Franceschi <>
Submitted on : Wednesday, June 2, 2021 - 1:35:46 PM
Last modification on : Thursday, June 24, 2021 - 12:05:04 PM

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Philip Ernst, Sandro Franceschi, Dongzhou Huang. Escape and absorption probabilities for obliquely reflected Brownian motion in a quadrant. Stochastic Processes and their Applications, Elsevier, 2021, ⟨10.1016/j.spa.2021.06.003⟩. ⟨hal-03098303v2⟩

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