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Multidimensional Sticky Brownian Motions: Tail Behaviour of the Joint Stationary Distribution (1901.07529v1)
Published 18 Jan 2019 in math.PR
Abstract: Sticky Brownian motions, as time-changed semimartingale reflecting Brownian motions, have various applications in many fields, including queuing theory and mathematical finance. In this paper, we are concerned about the stationary distributions of a multidimensional sticky Brownian motion, provided it is stable. We will study the large deviations principle for stationary distribution and the tail behaviour of the joint stationary distribution.