Degenerate systems of three Brownian particles with asymmetric collisions: invariant measure of gaps

Abstract

We consider a degenerate system of three Brownian particles undergoing asymmetric collisions. We study the gap process of this system and focus on its invariant measure. The gap process is described as an obliquely reflected degenerate Brownian motion in a quadrant. For all possible parameter cases, we compute the Laplace transform of the invariant measure, and fully characterize the conditions under which it belongs to the following classes: rational, algebraic, differentially finite, or differentially algebraic. We also derive explicit formulas for the invariant measure on the boundary of the quadrant, expressed in terms of a Theta-like function, to which we apply a polynomial differential operator. In this study, we introduce a new parameter called $\gamma$ (along with two additional parameters $\gamma_1$ and $\gamma_2$) which governs many properties of the degenerate process. This parameter is reminiscent of the famous parameter $\alpha$ introduced by Varadhan and Williams (and the two parameters $\alpha_1$ and $\alpha_2$ recently introduced by Bousquet-M{\'e}lou et al.) to study nondegenerate reflected Brownian motion in a wedge. To establish our main results we start from a kernel functional equation characterizing the Laplace transform of the invariant measure. By an analytic approach, we establish a finite difference equation satisfied by the Laplace transform. Then, using certain so-called decoupling functions, we apply Tutte's invariant approach to solve the equation via conformal gluing functions. Finally, difference Galois theory and exhaustive study allows us to find necessary and sufficient conditions for the Laplace transform to belong to the specified function hierarchy.