Reflected Brownian motion in a wedge: sum-of-exponential stationary densities
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🧮 math.PR
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browniandensitygivemotionreflectedstationarywedgecases
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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. Relying on geometric ideas reminiscent of the reflection principle, we give an explicit formula for the density in such cases.
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