SDE with oblique reflection on domains defined by multiple constraints

Details SDE with oblique reflection on domains defined by multiple constraints SDE with oblique reflection on domains defined by multiple constraints

2011-12-14

arxiv.org/abs/1112.3242v1

Mathematics

Probability

11 pages, 1 figure

Scientific paper

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.

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