A Two-Dimensional Oblique Extension of Bessel Processes
2017, v.23, №2, 233-266
We consider a Brownian motion forced to stay in the quadrant by an electrostatic oblique repulsion from the sides. We tackle the question of hitting the corner
or an edge, and find product-form stationary measures under a certain condition, which is reminiscent of the skew-symmetry condition for a reflected Brownian motion.
Keywords: singular stochastic differential equation; electrostatic repulsion; Bessel process; product form stationary distribution; skew-symmetry condition; obliquely reflected Brownian motion