A second order SDE for the Langevin process reflected at a completely inelastic boundary
Résumé
It was shown recently 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.
Domaines
Probabilités [math.PR]
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