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Preprints, Working Papers, ... Year : 2012

The snapping out Brownian motion

Abstract

We give a probabilistic representation of a one-dimensional diffusion, equation where the solution is discontinuous at 0 with a jump proportional to its flux. This kind of interface condition is usually seen as a semi-permeable barrier. For this, we use a process called here the snapping out Brownian motion, whose properties are studied. As this construction is motivated by applications, for example in brain imaging or in chemistry, a simulation scheme is also provided.
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Dates and versions

hal-00781447 , version 1 (26-01-2013)
hal-00781447 , version 2 (06-01-2015)
hal-00781447 , version 3 (09-07-2015)
hal-00781447 , version 4 (03-08-2015)

Identifiers

  • HAL Id : hal-00781447 , version 3

Cite

Antoine Lejay. The snapping out Brownian motion. 2012. ⟨hal-00781447v3⟩
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