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.
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.
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.
| Item Type: | Journal Article, refereed, original work |
|---|---|
| Communities & Collections: | 07 Faculty of Science > Institute of Mathematics |
| Dewey Decimal Classification: | 510 Mathematics |
| Scopus Subject Areas: | Physical Sciences > General Mathematics
Physical Sciences > Applied Mathematics |
| Language: | English |
| Date: | 2008 |
| Deposited On: | 29 May 2013 09:57 |
| Last Modified: | 10 Nov 2023 02:37 |
| Publisher: | European Mathematical Society |
| ISSN: | 1435-9855 |
| OA Status: | Hybrid |
| 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 |
Bertoin, J