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Journal Articles Annals of Probability Year : 2007

Reflecting a Langevin Process at an Absorbing Boundary

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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Dates and versions

hal-00018001 , version 1 (26-01-2006)

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Jean Bertoin. Reflecting a Langevin Process at an Absorbing Boundary. Annals of Probability, 2007, 35 (6), pp.2021-2037. ⟨10.1214/009117906000001213⟩. ⟨hal-00018001⟩
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