Stationary distributions for two-dimensional sticky Brownian motions:Exact tail asymptotics and extreme value distributions

• 作者: Hongshuai Dai Yiqiang Q.Zhao
• 来源期刊: 中国科学：数学（英文版）
• 年，卷（期）: 2021,（11）
• 所属期刊栏目: Articles
• 页码范围: 2539-2562
• 页数: 24页
• 语种: 英文

摘要

Sticky Brownian motions can be viewed as time-changed semimartingale reflecting Brownian mo-tions,which find applications in many areas including queueing theory and mathematical finance.In this paper,we focus on stationary distributions for sticky Brownian motions.Main results obtained here include tail asymp-totic properties in the marginal distributions and joint distributions.The kernel method,copula concept and extreme value theory are the main tools used in our analysis.