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Simulation of reflected Brownian motion on two dimensional wedges
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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.…
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We study a special case of the Brauer model in which every path of the model has weight q = 1. The model has been studied before as a solvable lattice model and can be viewed as a Lorentz lattice…
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Abstract Internal diffusion-limited aggregation is a growth model based on random walk in ℤd. We study how the shape of the aggregate depends on the law of the underlying walk, focusing on a family…
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We study semi-martingale obliquely reflected Brownian motion with drift in the first quadrant of the plane in the transient case. Our main result determines a general explicit integral expression for…
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Green's functions with oblique Neumann boundary conditions in a wedge
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We study semi-martingale obliquely reflected Brownian motion (SRBM) with drift in a wedge of the plane in the transient case. Our main result determines a general explicit integral expression for the…
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