Open AccessA second order SDE for the Langevin process reflected at a completely inelastic boundary
Author(s) -
Jean Bertoin
Publication year - 2008
Publication title -
journal of the european mathematical society
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 3.549
H-Index - 64
eISSN - 1435-9863
pISSN - 1435-9855
DOI - 10.4171/jems/125
Subject(s) - mathematics , boundary (topology) , order (exchange) , process (computing) , mathematical analysis , computer science , finance , economics , operating system
It was shown in [J. Bertoin, Ann. Probab. 35, No. 6, 2021 132037] 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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