On confined McKean Langevin processes satisfying the mean no-permeability boundary condition
AbstractWe 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) . 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.
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Bibliographic InfoArticle provided by Elsevier in its journal Stochastic Processes and their Applications.
Volume (Year): 121 (2011)
Issue (Month): 12 ()
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description
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