IDEAS home Printed from https://ideas.repec.org/a/eee/spapps/v121y2011i12p2751-2775.html
   My bibliography  Save this article

On confined McKean Langevin processes satisfying the mean no-permeability boundary condition

Author

Listed:
  • Bossy, Mireille
  • Jabir, Jean-François

Abstract

We construct a confined Langevin type process aimed to satisfy a mean no-permeability condition at the boundary. This Langevin process lies in the class of conditional McKean Lagrangian stochastic models studied by Bossy, Jabir and Talay (2010) [5]. The confined process considered here is a first construction of solutions to the class of Lagrangian stochastic equations with boundary condition issued by the so-called PDF methods for Computational Fluid Dynamics. We prove the well-posedness of the confined system when the state space of the Langevin process is a half-space.

Suggested Citation

  • Bossy, Mireille & Jabir, Jean-François, 2011. "On confined McKean Langevin processes satisfying the mean no-permeability boundary condition," Stochastic Processes and their Applications, Elsevier, vol. 121(12), pages 2751-2775.
    • Handle: RePEc:eee:spapps:v:121:y:2011:i:12:p:2751-2775
    DOI: 10.1016/j.spa.2011.07.006
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0304414911001773
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.spa.2011.07.006?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Jabir, Jean-François & Profeta, Christophe, 2019. "A stable Langevin model with diffusive-reflective boundary conditions," Stochastic Processes and their Applications, Elsevier, vol. 129(11), pages 4269-4293.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:121:y:2011:i:12:p:2751-2775. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.