Mouvement brownien réfléchi obliquement dans des cônes : nature algébrique de la transformée de Laplace de la distribution stationnaire

Jeudi 8 novembre 2018 15:45 - Sandro Franceschi - LPSM

Résumé : In the 1970s, William Tutte developed a clever algebraic approach, based on certain “invariants”, to solve a functional equation that arises in the enumeration of properly colored triangulations. The Laplace transform of the stationary distribution of semimartingale reflected Brownian motion (SRBM) in wedges satisfies similar equations. To be applicable, the method requires the existence of two functions called invariant and decoupling function, respectively. While all models have invariants, we prove that the existence of a decoupling function is equivalent to a simple geometric condition on the angles. For the models that have in addition a decoupling function, we obtain integral-free expressions of the Laplace transform in terms of the invariants. As a consequence, we obtain new derivations of the Laplace transform in several well-known cases, as the skew symmetric SRBM, orthogonal reflections, or the Dieker-Moriarty result characterizing sum-of-exponential densities.
Ce exposé est issu d’un travail en cours en collaboration avec M. Bousquet-Mélou, A. Elvey Price, C. Hardouin et K. Raschel

Lieu : salle 3L15

Mouvement brownien réfléchi obliquement dans des cônes : nature algébrique de la transformée de Laplace de la distribution stationnaire  Version PDF