A Langevin process reflected at a partially elastic boundary: I

作者：Jacob Emmanuel^*

来源：Stochastic Processes and Their Applications, 2012, 122(1): 191-216.

DOI：10.1016/j.spa.2011.08.003

• Langevin process
• Second-order reflection
• Reflecting boundary
• Renewal theory
• Stationarity
• Ladder height process

Consider a Langevin process, that is an integrated Brownian motion, constrained to stay in [0, infinity) by a partially elastic boundary at 0. If the elasticity coefficient of the boundary is greater than or equal to c(crit) = exp(-root pi/3), bounces will not accumulate in a finite time when the process starts from the origin with strictly positive velocity. We will show that there exists then a unique entrance law from the boundary with zero velocity, despite the immediate accumulation of bounces. This result of uniqueness is in sharp contrast with what appears in the literature on deterministic second-order reflection. Our approach uses certain properties of real-valued random walks and a notion of spatial stationarity which may be of independent interest.

• 出版日期2012-1