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We consider a two-dimensional diffusion process in a two-layered plane, governed by distinct covariance matrices in the upper and lower half-planes and by two drift vectors pointed away from the x-axis. We first analyze ...
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Brownian motion in R 2 + with covariance matrix Σ and drift μ in the interior and reflection matrix R from the axes is considered. The asymptotic expansion of the stationary distribution density along all paths in R 2 + ...