A second order SDE for the Langevin process reflected at a completely inelastic boundary
Probability
2007-05-23 v1
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.
Keywords
Cite
@article{arxiv.math/0610442,
title = {A second order SDE for the Langevin process reflected at a completely inelastic boundary},
author = {Jean Bertoin},
journal= {arXiv preprint arXiv:math/0610442},
year = {2007}
}