A second order SDE for the Langevin process reflected at a completely inelastic boundary
Jean Bertoin (2008)
Journal of the European Mathematical Society
Similarity:
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.