Publication: A second order SDE for the Langevin process reflected at a completely inelastic boundary
A second order SDE for the Langevin process reflected at a completely inelastic boundary
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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. https://doi.org/10.4171/JEMS/125
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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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- Bertoin, J
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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. https://doi.org/10.4171/JEMS/125
