Reflected Brownian motion in a wedge: sum-of-exponential stationary densities
Authors
A. B. Dieker, J. Moriarty
Abstract
We give necessary and sufficient conditions for the stationary density of semimartingale reflected Brownian motion in a wedge to be written as a finite sum of terms of exponential product form. Relying on geometric ideas reminiscent of the reflection principle, we give an explicit formula for the density in such cases.
