SDE with oblique reflection on domains defined by multiple constraints
Probability
2013-06-17 v1
Abstract
We present simple assumptions on the constraints defining a hard core dynamics for the associated reflected stochastic differential equation to have a unique strong solution. Time-reversibility is proven for gradient systems with normal reflection, or oblique reflection with a fixed oblicity matrix. An application is given concerning the clustering at equilibrium of particles around a large attractive sphere.
Keywords
Cite
@article{arxiv.1112.3242,
title = {SDE with oblique reflection on domains defined by multiple constraints},
author = {Myriam Fradon},
journal= {arXiv preprint arXiv:1112.3242},
year = {2013}
}
Comments
11 pages, 1 figure