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arXiv · 2405.05366

Approximation of skew Brownian motion by snapping-out Brownian motions

Adam Bobrowski·Elżbieta Ratajczyk
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Abstract

We elaborate on the theorem saying that as permeability coefficients of snapping-out Brownian motions tend to infinity in such a way that their ratio remains constant, these processes converge to a skew Brownian motion. In particular, convergence of the related semigroups, cosine families and projections is discussed.

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Adam Bobrowski, Elżbieta Ratajczyk. 2024-05-08. Approximation of skew Brownian motion by snapping-out Brownian motions. https://arxiv.org/abs/2405.05366

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