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arXiv · 2609.13014

From skew to reflected SPDEs

Cyril Labbé·Thomas Le Guerch·Lorenzo Zambotti
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Abstract

In this article, we prove that the solution of the skew stochastic heat equation converges to the solution of the stochastic heat equation with reflection in the limit of infinite skewness. The result holds at equilibrium. This provides an SPDE analog of the link between skew and reflected Brownian motion. One of the intermediate results is the convergence in law of a penalised Brownian bridge to a 3-Bessel bridge.

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Cyril Labbé, Thomas Le Guerch, Lorenzo Zambotti. 2026-09-11. From skew to reflected SPDEs. https://arxiv.org/abs/2609.13014

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