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arxiv: 1004.3043 · v1 · pith:LMLSDIPRnew · submitted 2010-04-18 · 🧮 math.PR

A Note on the Smoluchowski-Kramers Approximation for the Langevin Equation with Reflection

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keywords equationapproximationlangevinreflectionsigmasmoluchowski-kramerssolutionaccording
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According to the Smoluchowski-Kramers approximation, the solution of the equation ${\mu}\ddot{q}^{\mu}_t=b(q^{\mu}_t)-\dot{q}^{\mu}_t+{\Sigma}(q^{\mu}_t)\dot{W}_t, q^{\mu}_0=q, \dot{q}^{\mu}_0=p$ converges to the solution of the equation $\dot{q}_t=b(q_t)+{\Sigma}(q_t)\dot{W}_t, q_0=q$ as {\mu}->0. We consider here a similar result for the Langevin process with elastic reflection on the boundary.

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