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 multi-dimensional Langevin processes con...
Gespeichert in:
Veröffentlicht in: | Statistics & probability letters 2013-10, Vol.83 (10), p.2211-2219 |
---|---|
1. Verfasser: | |
Format: | Artikel |
Sprache: | eng |
Schlagworte: | |
Online-Zugang: | Volltext |
Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
Zusammenfassung: | 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 multi-dimensional Langevin processes confined to box domains or general polytopes. |
---|---|
ISSN: | 0167-7152 1879-2103 1879-2103 |
DOI: | 10.1016/j.spl.2013.05.033 |