SDE with oblique reflection on domains defined by multiple constraints
arXiv:1112.3242 · doi:10.1214/ECP.v18-2730
Abstract
We present simple assumptions on the constraints defining a hard core dynamics for the associated reflected stochastic differential equation to have a unique strong solution. Time-reversibility is proven for gradient systems with normal reflection, or oblique reflection with a fixed oblicity matrix. An application is given concerning the clustering at equilibrium of particles around a large attractive sphere.
11 pages, 1 figure