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A second order SDE for the Langevin process reflected at a completely inelastic boundary


Bertoin, J (2008). A second order SDE for the Langevin process reflected at a completely inelastic boundary. Journal of the European Mathematical Society, 10(3):625-639.

Abstract

It was shown in [J. Bertoin, Ann. Probab. 35, No. 6, 2021 132037] that a Langevin process can be reflected at an energy absorbing boundary. Here, we establish that the law of this reflecting process can be characterized as the unique weak solution to a certain second order stochastic differential equation with constraints, which is in sharp contrast with a deterministic analog.

Abstract

It was shown in [J. Bertoin, Ann. Probab. 35, No. 6, 2021 132037] that a Langevin process can be reflected at an energy absorbing boundary. Here, we establish that the law of this reflecting process can be characterized as the unique weak solution to a certain second order stochastic differential equation with constraints, which is in sharp contrast with a deterministic analog.

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Additional indexing

Item Type:Journal Article, refereed, original work
Communities & Collections:07 Faculty of Science > Institute of Mathematics
Dewey Decimal Classification:510 Mathematics
Language:English
Date:2008
Deposited On:29 May 2013 09:57
Last Modified:05 Apr 2016 16:47
Publisher:European Mathematical Society
ISSN:1435-9855
Publisher DOI:https://doi.org/10.4171/JEMS/125
Related URLs:http://www.ams.org/mathscinet-getitem?mr=2421156
http://www.zentralblatt-math.org/zbmath/search/?q=an%3A1169.60009

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