Reflecting a Langevin process at an absorbing boundary (Q2460318): Difference between revisions

The paper is devoted to the construction of a Langevin process with white noise external forcing, such that the energy of the particle is absorbed each time when the particle hits the boundary point 0, and is instantly reflected at 0. More precisely, the càdlàg process \((X,V)=((X_t, V_t),\,\,t\geq 0)\) is constructed, \(X_0=V_0=0\), where the process \(X\) and the velocity \(V\) satisfy some natural requirements. Such a process is unique, and is completely determined by the excursion measure of \(X\) away from 0. Finally, the scaling properties of the Langevin process are investigated, as well as the tail distribution of the lifetime of an excursion, and the tail distribution of the velocity of the excursion immediately before its lifetime.