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

Mireille Bossy and Jean-Francois Jabir

Stochastic Processes and their Applications, 2011, vol. 121, issue 12, 2751-2775

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.

Keywords: McKean Langevin equation; Lagrangian stochastic model; Mean no-permeability condition; Specular boundary condition (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:121:y:2011:i:12:p:2751-2775

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DOI: 10.1016/j.spa.2011.07.006

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