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

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

2006-10-14

arxiv.org/abs/math/0610442v1

Mathematics

Probability

Scientific paper

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.

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