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Reflecting a Langevin process at an absorbing boundary


Bertoin, Jean (2007). Reflecting a Langevin process at an absorbing boundary. The Annals of Probability, 35(6):2021-2037.

Abstract

We consider a Langevin process with white noise random forcing. We suppose that the energy of the particle is instantaneously absorbed when it hits some fixed obstacle. We show that nonetheless, the particle can be instantaneously reflected, and study some properties of this reflecting solution.

Abstract

We consider a Langevin process with white noise random forcing. We suppose that the energy of the particle is instantaneously absorbed when it hits some fixed obstacle. We show that nonetheless, the particle can be instantaneously reflected, and study some properties of this reflecting solution.

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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
Scopus Subject Areas:Physical Sciences > Statistics and Probability
Social Sciences & Humanities > Statistics, Probability and Uncertainty
Language:English
Date:2007
Deposited On:29 May 2013 15:16
Last Modified:09 Feb 2024 02:40
Publisher:Institute of Mathematical Statistics
ISSN:0091-1798
OA Status:Hybrid
Free access at:Publisher DOI. An embargo period may apply.
Publisher DOI:https://doi.org/10.1214/009117906000001213
Related URLs:http://www.ams.org/mathscinet-getitem?mr=2353380
http://www.zentralblatt-math.org/zbmath/search/?q=an%3A1132.60057
  • Content: Published Version
  • Language: English