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

• Autores: Jean Bertoin
• Localización: Journal of the European Mathematical Society, ISSN 1435-9855, Vol. 10, Nº 3, 2008, págs. 625-639
• Idioma: inglés
• DOI: 10.4171/jems/125
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• Resumen

  • It was shown in \cite{Be} 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.