A dual skew symmetry for transient reflected Brownian motion in an orthant

Sandro Franceschi () and Kilian Raschel ()
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Sandro Franceschi: Institut Polytechnique de Paris
Kilian Raschel: Université d’Angers

Queueing Systems: Theory and Applications, 2022, vol. 102, issue 1, No 7, 123-141

Abstract: Abstract We introduce a transient reflected Brownian motion in a multidimensional orthant, which is either absorbed at the apex of the cone or escapes to infinity. We address the question of computing the absorption probability, as a function of the starting point of the process. We provide a necessary and sufficient condition for the absorption probability to admit an exponential product form, namely that the determinant of the reflection matrix is zero. We call this condition a dual skew symmetry. It recalls the famous skew symmetry introduced by Harrison (Adv Appl Probab 10:886–905, 1978), which characterizes the exponential stationary distributions in the recurrent case. The duality comes from that the partial differential equation satisfied by the absorption probability is dual to the one associated with the stationary distribution in the recurrent case.

Keywords: Reflected Brownian motion in an orthant; Absorption probability; Escape probability; Dual skew symmetry; PDE with Neumann conditions; 60J60; 30D05 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s11134-022-09853-9

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