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November 2007 Reflecting a Langevin process at an absorbing boundary
Jean Bertoin
Ann. Probab. 35(6): 2021-2037 (November 2007). DOI: 10.1214/009117906000001213

Abstract

We consider a Langevin process with white noise random forcing. We suppose that the energy of the particle is instantaneously absorbed when it hits some fixed obstacle. We show that nonetheless, the particle can be instantaneously reflected, and study some properties of this reflecting solution.

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Jean Bertoin. "Reflecting a Langevin process at an absorbing boundary." Ann. Probab. 35 (6) 2021 - 2037, November 2007. https://doi.org/10.1214/009117906000001213

Information

Published: November 2007
First available in Project Euclid: 8 October 2007

zbMATH: 1132.60057
MathSciNet: MR2353380
Digital Object Identifier: 10.1214/009117906000001213

Subjects:
Primary: 60J50 , 60J55
Secondary: 60G18 , 60G52

Keywords: absorbing boundary , Excursions , Langevin process , reflection

Rights: Copyright © 2007 Institute of Mathematical Statistics

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Vol.35 • No. 6 • November 2007
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