Research
Communication | Open Access
Volume 2021 | Communication ID 91
Volume 2021 | Communication ID 91
Stationary distribution for a three dimensional semi-martingale reflecting Brownian motion |
Soukaina Ait Yousef, Abdelhak Yaacoubi, Abdelghani Ben Tahar
Received |
Accepted |
Published |
May 15, 2021 |
May 25, 2021 |
July 15, 2021 |
Abstract: In this paper, we consider a semi-martingale reflecting Brownian motions (SRBMs) in the non-negative three-dimensional orthant. The data of this process are a covariance matrix ∆, a drift vector θ and a reflection matrix R satisfying the positive recurrence conditions as shown in [1], [3] and [4]. We first define the conditions for the existence of stationary distribution for SRBM, we then apply the Kernel method and analytic continuation of moment generating functions to study the tail asymptotic of an SRBM with a specific reflection matrix, for the boundary stationary distribution, the ...