Snapping out Walsh's Brownian motion and related stiff problem
Liping Li, Wenjie Sun
TL;DR
This paper introduces the snapping out Walsh's Brownian motion, explores its relation to Walsh's Brownian motion, and analyzes a phase transition in a related stiff problem, highlighting semi-permeable boundary behaviors.
Contribution
It presents a new variant called snapping out Walsh's Brownian motion and establishes its connection with Walsh's Brownian motion, along with a phase transition analysis in the stiff problem context.
Findings
Introduction of snapping out Walsh's Brownian motion
Relation established between snapping out and Walsh's Brownian motion
Phase transition characterized in the stiff problem
Abstract
Firstly, we shall introduce the so-called snapping out Walsh's Brownian motion and present its relation with Walsh's Brownian motion. Then the stiff problem related to Walsh's Brownian motion will be described and we shall build a phase transition for it. The snapping out Walsh's Brownian motion corresponds to the so-called semi-permeable pattern of this stiff problem.
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Taxonomy
TopicsAdvanced Mathematical Modeling in Engineering · Theoretical and Computational Physics · Stochastic processes and financial applications