Reflecting a Langevin process at an absorbing boundary

Jean Bertoin

doi:10.1214/009117906000001213

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Home > Journals > Ann. Probab. > Volume 35 > Issue 6 > Article

November 2007 Reflecting a Langevin process at an absorbing boundary

Jean Bertoin

Ann. Probab. 35(6): 2021-2037 (November 2007). DOI: 10.1214/009117906000001213

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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