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Pré-Publication, Document De Travail Année : 2011

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

Résumé

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 in \cite{bossy-etal-10}. 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 hyper-plane.
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Dates et versions

inria-00559072 , version 1 (24-01-2011)
inria-00559072 , version 2 (22-08-2011)

Identifiants

  • HAL Id : inria-00559072 , version 1

Citer

Mireille Bossy, Jean-François Jabir. On confined McKean Langevin processes satisfying the mean no-permeability boundary condition. 2011. ⟨inria-00559072v1⟩
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