A Langevin process reflected at a partially elastic boundary. I

DOI10.1016/j.spa.2011.08.003zbMath1262.60078arXiv1004.1953MaRDI QIDQ655323

Emmanuel Jacob

Publication date: 4 January 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1004.1953

zbMATH Keywords

renewal theory; stationarity; ladder height process; reflecting boundary; Langevin process; second-order reflection

Mathematics Subject Classification ID

60G10: Stationary stochastic processes

60J50: Boundary theory for Markov processes

60H20: Stochastic integral equations

60K05: Renewal theory

Related Items

On the structure of the singular set for the kinetic Fokker–Planck equations in domains with boundaries, Telegraph process with elastic boundary at the origin, A stable Langevin model with diffusive-reflective boundary conditions, Asymptotic results for the absorption time of telegraph processes with elastic boundary at the origin, Existence of pathwise unique Langevin processes on polytopes with perfect reflection at the boundary, Langevin Process Reflected on a Partially Elastic Boundary II

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The successive hitting times for the integrated Brownian motion
• A second order SDE for the Langevin process reflected at a completely inelastic boundary
• Uniqueness in the elastic bounce problem
• A renewal theorem for curved boundaries and moments of first passage times
• The dynamics of discrete mechanical systems with perfect unilateral constraints
• Uniqueness and continuous dependence on data for one-dimensional impact problems.
• On conditioning a random walk to stay nonnegative
• Excursions of the integral of the Brownian motion
• Reflecting a Langevin process at an absorbing boundary
• Law of the iterated logarithm for oscillating random walks conditioned to stay non-negative.
• A winding problem for a resonator driven by a white noise
• Some applications of duality for Lévy processes in a half-line
• Stopped Random Walks
• On the First Passage of the Integrated Wiener Process
• Some Results Concerning the Zero-Crossings of Gaussian Noise
• A Tauberian Theorem and Its Probability Interpretation
• The Distribution of Intervals Between Zeros for a Stationary Gaussian Process