Existence of pathwise unique Langevin processes on polytopes with perfect reflection at the boundary

• Exploiting an explicit projection from the real line into an interval, we prove existence and pathwise uniqueness of one-dimensional Langevin processes confined to an interval with perfect reflection at the boundary. This result is subsequently generalized to multidimensional Langevin processes confined to box domains or general polytopes.

Ämnesord

NATURVETENSKAP  -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)

NATURAL SCIENCES  -- Mathematics -- Probability Theory and Statistics (hsv//eng)

Nyckelord

Langevin process

integrated Brownian motion

Lagrangian stochastic model

reflecting boundary

Mathematics

Matematik

Publikations- och innehållstyp

ref (ämneskategori)

art (ämneskategori)