Construction and analysis of a sticky reflected distorted Brownian motion

DOI10.1214/14-AIHP650zbMath1342.60166arXiv1409.7171OpenAlexW2963304704MaRDI QIDQ297452

Martin Grothaus, Torben Fattler, Robert Vosshall

Publication date: 27 June 2016

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1409.7171

zbMATH Keywords

stochastic differential equationinteracting sticky reflected distorted Brownian motioninterface modelsSkorokhod decompositionWentzell boundary condition

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Dynamics of random walks, random surfaces, lattice animals, etc. in time-dependent statistical mechanics (82C41) Local time and additive functionals (60J55) Boundary theory for Markov processes (60J50)

Related Items (12)

Strong Feller property of sticky reflected distorted Brownian motion ⋮ Bessel SPDEs and renormalised local times ⋮ Mini-workshop: Variable curvature bounds, analysis and topology on Dirichlet spaces. Abstracts from the mini-workshop held December 5--11, 2021 (hybrid meeting) ⋮ Wasserstein convergence rates for random bit approximations of continuous Markov processes ⋮ Sticky-reflected stochastic heat equation driven by colored noise ⋮ A functional limit theorem for coin tossing Markov chains ⋮ Sticky couplings of multidimensional diffusions with different drifts ⋮ Bessel SPDEs with general Dirichlet boundary conditions ⋮ Scaling limit of wetting models in \(1+1\) dimensions pinned to a shrinking strip ⋮ Integration by parts on the law of the modulus of the Brownian bridge ⋮ Properties of the EMCEL scheme for approximating irregular diffusions ⋮ Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation

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