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| Format: | Preprint |
| Published: |
2026
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| Subjects: | |
| Online Access: | https://arxiv.org/abs/2604.27951 |
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| _version_ | 1866909011258900480 |
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| author | Flin, Jules |
| author_facet | Flin, Jules |
| contents | We investigate the unique stationary measure of a positive recurrent reflecting Brownian motion in the upper half-plane, where the direction of reflection is constant on each half-axis. The Laplace transform of the stationary distribution is characterized by a functional equation, whose resolution is reduced to solving a discontinuous Riemann boundary value problem. By applying the Sokhotski-Plemelj formulas, we derive an explicit expression for the Laplace transform. Finally, we establish the local behavior of the stationary density at the origin and its asymptotics along the boundary axes using Tauberian theorems and asymptotic analysis. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2604_27951 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | Stationary Distribution of Brownian Motion in the Half-Plane with Two-sided Reflections Flin, Jules Probability 60J65, 30E25, 60K25 We investigate the unique stationary measure of a positive recurrent reflecting Brownian motion in the upper half-plane, where the direction of reflection is constant on each half-axis. The Laplace transform of the stationary distribution is characterized by a functional equation, whose resolution is reduced to solving a discontinuous Riemann boundary value problem. By applying the Sokhotski-Plemelj formulas, we derive an explicit expression for the Laplace transform. Finally, we establish the local behavior of the stationary density at the origin and its asymptotics along the boundary axes using Tauberian theorems and asymptotic analysis. |
| title | Stationary Distribution of Brownian Motion in the Half-Plane with Two-sided Reflections |
| topic | Probability 60J65, 30E25, 60K25 |
| url | https://arxiv.org/abs/2604.27951 |