Related papers: A second order SDE for the Langevin process reflec…
We consider a Langevin process with white noise random forcing. We suppose that the energy of the particle is instantaneously absorbed when it hits some fixed obstacle. We show that nonetheless, the particle can be instantaneously…
A particle subject to a white noise external forcing moves like a Langevin process. Consider now that the particle is reflected at a boundary which restores a portion c of the incoming speed at each bounce. For c strictly smaller than the…
Consider a Langevin process, that is an integrated Brownian motion, constrained to stay on the nonnegative half-line by a partially elastic boundary at 0. If the elasticity coefficient of the boundary is greater than or equal to a critical…
In this article, we build upon the work of Soner, Touzi and Zhang [Probab. Theory Related Fields 153 (2012) 149-190] to define a notion of a second order backward stochastic differential equation reflected on a lower c\`adl\`ag obstacle. We…
In this note, we consider the construction of a one-dimensional stable Langevin type process confined in the upper half-plane and submitted to reflective-diffusive boundary conditions whenever the particle position hits 0. We show that two…
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…
We derive and analyze numerical methods for underdamped (kinetic) Langevin dynamics in a domain with elastic reflection at the boundary. First-order approximations are based on an Euler-type scheme incorporating collision-handling at the…
We examine the Langevin diffusion confined to a closed, convex domain $D\subset\mathbb{R}^d$, represented as a reflected stochastic differential equation. We introduce a sequence of penalized stochastic differential equations and prove that…
In this paper, we focus on the existence of the density for the law of the solutions to parabolic stochastic partial differential equations with two reflecting walls. The main tool is Malliavin calculus.
Response lags are generic to almost any physical system and often play a crucial role in the feedback loops present in artificial nanodevices and biological molecular machines. In this paper, we perform a comprehensive study of small…
Colloidal particles that experience perfectly elastic collisions can be modelled using Langevin processes with specular reflection conditions. The article presents a discretisation scheme and offers a conjecture for the rate of convergence…
We consider a reflected backward stochastic differential equations with default time and an optional barrier in a filtration generated by a one-dimensional Brownian motion and a defaultable process. We suppose that the barrier have…
We study the problem of the existence, uniqueness and stability of solutions of reflected stochastic differential equations (SDEs) with a minimality condition depending on the law of the solution (and not on the paths). We require that some…
We study reflected solutions of one-dimensional backward doubly stochastic differential equations (BDSDEs in short). The "reflected" keeps the solution above a given stochastic process. We get the uniqueness and existence by penalization.…
We study a combination of the refracted and reflected L\'evy processes. Given a spectrally negative L\'evy process and two boundaries, it is reflected at the lower boundary while, whenever it is above the upper boundary, a linear drift at a…
We prove well-posedness results for backward stochastic differential equations (BSDEs) and reflected BSDEs with an optional obstacle process in the case of appropriately weighted $\mathbb{L}^2$-data when the generator is integrated with…
We consider reflected backward stochastic differential equations, with two barriers, defined on probability spaces equipped with filtration satisfying only the usual assumptions of right continuity and completeness. As for barriers we…
We provide several characterizations to identify Strong envelop (for bounded measurable process) and Strong super-martingale (for non-negative right upper semi-continuous process of the class $\Dc$). As examples of application, we prove…
In this paper, we study reflected backward stochastic differential equation (reflected BSDE in abbreviation) with rank-based data in a Markovian framework; that is, the solution to the reflected BSDE is above a prescribed boundary process…
Based on an integration by parts formula for closed and convex subsets $\Gamma$ of a separable real Hilbert space $H$ with respect to a Gaussian measure, we first construct and identify the infinite dimensional analogue of the obliquely…