Reflecting a Langevin process at an absorbing boundary
Bertoin, Jean
Ann. Probab., Tome 35 (2007) no. 1, p. 2021-2037 / Harvested from Project Euclid
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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.
Publié le : 2007-11-14
Classification:  Langevin process,  absorbing boundary,  reflection,  excursions,  60J50,  60J55,  60G18,  60G52 
@article{1191860413,
     author = {Bertoin, Jean},
     title = {Reflecting a Langevin process at an absorbing boundary},
     journal = {Ann. Probab.},
     volume = {35},
     number = {1},
     year = {2007},
     pages = { 2021-2037},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1191860413}
}

Bertoin, Jean. Reflecting a Langevin process at an absorbing boundary. Ann. Probab., Tome 35 (2007) no. 1, pp.  2021-2037. http://gdmltest.u-ga.fr/item/1191860413/