A second order SDE for the Langevin process reflected at a completely inelastic boundary

DOI10.4171/JEMS/125zbMATH Open1169.60009arXivmath/0610442MaRDI QIDQ936151FDOQ936151

Authors: Jean Bertoin 

Publication date: 13 August 2008

Published in: Journal of the European Mathematical Society (JEMS) (Search for Journal in Brave)

Abstract: It was shown recently that a Langevin process can be reflected at an energy absorbing boundary. Here, we establish that the law of this reflecting process can be characterized as the unique weak solution to a certain second order stochastic differential equation with constraints, which is in sharp contrast with a deterministic analog.

Full work available at URL: https://arxiv.org/abs/math/0610442

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zbMATH Keywords

stochastic differential equationreflectionLangevin process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44)

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Cited In (9)

• Langevin process reflected on a partially elastic boundary. II
• Excursions of the integral of the Brownian motion
• Reflecting a Langevin process at an absorbing boundary
• Two-parameter family of infinite-dimensional diffusions on the Kingman simplex
• Title not available (Why is that?)
• Fractional diffusion limit for a kinetic Fokker-Planck equation with diffusive boundary conditions in the half-line
• A stable Langevin model with diffusive-reflective boundary conditions
• On confined McKean Langevin processes satisfying the mean no-permeability boundary condition
• A Langevin process reflected at a partially elastic boundary. I

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