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

DOI10.4171/JEMS/125MaRDI QIDQ936151zbMATH OpenFDO

Authors Jean Bertoin

Publication date 13 August 2008

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

Full work available at URL https://arxiv.org/abs/math/0610442, http://www.ems-ph.org/journals/show_pdf.php?issn=1435-9855&vol=10&iss=3&rank=3

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)

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.

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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
• scientific article; zbMATH DE number 2131681 (Why is no real title available?)
• Fractional diffusion limit for a kinetic Fokker-Planck equation with diffusive boundary conditions in the half-line
• On confined McKean Langevin processes satisfying the mean no-permeability boundary condition
• A stable Langevin model with diffusive-reflective boundary conditions
• A Langevin process reflected at a partially elastic boundary. I

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