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...

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Veröffentlicht in:Statistics & probability letters 2013-10, Vol.83 (10), p.2211-2219
1. Verfasser: Önskog, Thomas
Format: Artikel
Sprache:eng
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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