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On hitting times of affine boundaries by reflecting Brownian motion and Bessel processes
Reflecting Brownian motion Bessel process hitting time linear boundary
2011/1/20
Firstly, we compute the distribution function for the hitting time of a linear time-dependent boundary t 7→ a + bt, a ≥ 0, b ∈ R, by a reflecting Brownian motion.
Positive recurrence of reflecting Brownian motion in three dimensions
Reflecting Brownian motion transience Skorohod problem
2010/12/14
Consider a semimartingale reflecting Brownian motion (SRBM)Z whose state space is the d-dimensional nonnegative orthant. The data for such a process are a drift vector , a nonsingular d×d covariance ...