A second order SDE for the Langevin process reflected at a completely inelastic boundary

DOI10.4171/JEMS/125zbMath1169.60009arXivmath/0610442MaRDI QIDQ936151

Jean Bertoin

Publication date: 13 August 2008

Published in: Journal of the European Mathematical Society (JEMS) (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0610442

zbMATH Keywords

stochastic differential equationreflectionLangevin process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44)

Related Items

Two-parameter family of infinite-dimensional diffusions on the Kingman simplex, Excursions of the integral of the Brownian motion, A Langevin process reflected at a partially elastic boundary. I, A stable Langevin model with diffusive-reflective boundary conditions, Langevin Process Reflected on a Partially Elastic Boundary II

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