Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
10525787 | Statistics & Probability Letters | 2013 | 9 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Thomas Ãnskog,