Title: Explicit expression for the stationary distribution of reflected brownian motion in a wedge,
Abstract: For Brownian motion in a (two-dimensional) wedge with negative drift and
oblique reflection on the axes, we derive an explicit formula for the Laplace
transform of its stationary distribution (when it exists), in terms of Cauchy
integrals and generalized Chebyshev polyno-mials. To that purpose we solve a
Carleman-type boundary value problem on a hyperbola, satisfied by the Laplace
transforms of the boundary stationary distribution.