JournalsjemsVol. 10, No. 3pp. 625–639

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

  • Jean Bertoin

    Universität Zürich, Switzerland
A second order SDE for the Langevin process reflected at a completely inelastic boundary cover
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Abstract

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.

Cite this article

Jean Bertoin, A second order SDE for the Langevin process reflected at a completely inelastic boundary. J. Eur. Math. Soc. 10 (2008), no. 3, pp. 625–639

DOI 10.4171/JEMS/125