Stochastic differential equations on domains defined by multiple constraints

DOI10.1214/ECP.V18-2730zbMATH Open1309.60058arXiv1112.3242OpenAlexW2301573983MaRDI QIDQ742989FDOQ742989

Authors: Myriam Fradon 

Publication date: 22 September 2014

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Abstract: We present simple assumptions on the constraints defining a hard core dynamics for the associated reflected stochastic differential equation to have a unique strong solution. Time-reversibility is proven for gradient systems with normal reflection, or oblique reflection with a fixed oblicity matrix. An application is given concerning the clustering at equilibrium of particles around a large attractive sphere.

Full work available at URL: https://arxiv.org/abs/1112.3242

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zbMATH Keywords

local timestochastic differential equationsgeometrical constraintsSkorokhod equationhard core interaction

Mathematics Subject Classification ID

Interacting random processes; statistical mechanics type models; percolation theory (60K35) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Local time and additive functionals (60J55)

Cited In (5)

• Brownian dynamics of globules
• Stochastic differential equations with constraints driven by processes with bounded \(p\)-variation
• Penalty method for obliquely reflected diffusions
• Diffusion dynamics for an infinite system of two-type spheres and the associated depletion effect
• Stochastic and deterministic constrained partial differential equations

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