A Langevin process reflected at a partially elastic boundary. I

DOI10.1016/J.SPA.2011.08.003zbMATH Open1262.60078arXiv1004.1953OpenAlexW1980710422MaRDI QIDQ655323FDOQ655323

Authors: Emmanuel Jacob 

Publication date: 4 January 2012

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

Abstract: Consider a Langevin process, that is an integrated Brownian motion, constrained to stay on the nonnegative half-line by a partially elastic boundary at 0. If the elasticity coefficient of the boundary is greater than or equal to a critical value (0.16), bounces will not accumulate in a finite time when the process starts from the origin with strictly positive velocity. We will show that there exists then a unique entrance law from the boundary with zero velocity, despite the immediate accumulation of bounces. This result of uniqueness is in sharp contrast with the literature on deterministic second order reflection. Our approach uses certain properties of real-valued random walks and a notion of spatial stationarity which may be of independent interest.

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

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zbMATH Keywords

stationarityrenewal theoryladder height processreflecting boundaryLangevin processsecond-order reflection

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Boundary theory for Markov processes (60J50) Stochastic integral equations (60H20) Renewal theory (60K05)

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Cited In (12)

• Asymptotic results for the absorption time of telegraph processes with elastic boundary at the origin
• Approximating diffusion reflections at elastic boundaries
• Existence of pathwise unique Langevin processes on polytopes with perfect reflection at the boundary
• Langevin process reflected on a partially elastic boundary. II
• Reflecting a Langevin process at an absorbing boundary
• Lagrangian stochastic models with specular boundary condition
• Fractional diffusion limit for a kinetic Fokker-Planck equation with diffusive boundary conditions in the half-line
• Telegraph process with elastic boundary at the origin
• On the structure of the singular set for the kinetic Fokker–Planck equations in domains with boundaries
• A stable Langevin model with diffusive-reflective boundary conditions
• On confined McKean Langevin processes satisfying the mean no-permeability boundary condition
• A second order SDE for the Langevin process reflected at a completely inelastic boundary

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