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

Jean Bertoin

Journal of the European Mathematical Society (2008)

  • Volume: 010, Issue: 3, page 625-639
  • ISSN: 1435-9855

Abstract

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It was shown in [2] 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.

How to cite

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Bertoin, Jean. "A second order SDE for the Langevin process reflected at a completely inelastic boundary." Journal of the European Mathematical Society 010.3 (2008): 625-639. <http://eudml.org/doc/277741>.

@article{Bertoin2008,
abstract = {It was shown in [2] 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.},
author = {Bertoin, Jean},
journal = {Journal of the European Mathematical Society},
keywords = {Langevin process; reflection; stochastic differential equation; Langevin process; reflection; stochastic differential equation},
language = {eng},
number = {3},
pages = {625-639},
publisher = {European Mathematical Society Publishing House},
title = {A second order SDE for the Langevin process reflected at a completely inelastic boundary},
url = {http://eudml.org/doc/277741},
volume = {010},
year = {2008},
}

TY - JOUR
AU - Bertoin, Jean
TI - A second order SDE for the Langevin process reflected at a completely inelastic boundary
JO - Journal of the European Mathematical Society
PY - 2008
PB - European Mathematical Society Publishing House
VL - 010
IS - 3
SP - 625
EP - 639
AB - It was shown in [2] 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.
LA - eng
KW - Langevin process; reflection; stochastic differential equation; Langevin process; reflection; stochastic differential equation
UR - http://eudml.org/doc/277741
ER -

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