Reflecting a langevin process at an absorbing boundary

• 成果类型: Article
• 署名作者: Bertoin, Jean
• 署名单位: Sorbonne Universite; Universite Paris Cite; Universite Paris Cite; Sorbonne Universite; Centre National de la Recherche Scientifique (CNRS); CNRS - National Institute for Mathematical Sciences (INSMI)
• 刊物名称: ANNALS OF PROBABILITY
• ISSN/ISSBN: 0091-1798
• DOI: 10.1214/009117906000001213
• 发表日期: 2007
• 页码: 2021-2037
• 关键词: ito excursion theory; resolvents

摘要

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.