Homogenization and propagation of chaos to a nonlinear diffusion with sticky reflection

DOI10.1007/BF01200497MaRDI QIDQ1804995zbMATH OpenOpenAlexFDO

Authors Carl Graham

Publication date 31 August 1995

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf01200497

zbMATH Keywords

diffusion with sticky reflectionhomogenizationmartingale problem formulationpropagation of chaos

Mathematics Subject Classification ID

Nonlinear initial, boundary and initial-boundary value problems for linear parabolic equations (35K60) Functional limit theorems; invariance principles (60F17) Interacting random processes; statistical mechanics type models; percolation theory (60K35)

Review text

A model issued from chromatography is studied. In the first part, the author considers a linear diffusion reflecting in a domain. This process evolves with non sticky reflection and is absorbed at the boundary in a certain rate with respect to local time and is desorbed at a rate in natural time. When the rates go to infinity with a converging ratio, the author proves the convergence to a diffusion with sticky reflection having this limit ratio as sojourn coefficient. This homogenization result is proved by a martingale problem formulation. In the second part, the author considers a system of mean field interacting particles with absorption and desorption, evolving globally in an angular domain. Homogenization is studied as above simultaneously as the number of particles goes to infinity. The two limits are performed at the same time, and propagation of chaos to a nonlinear diffusion with sticky reflection is obtained.

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Cites work

• scientific article; zbMATH DE number 3780265 (Why is no real title available?)
• Nonlinear reflecting diffusion process, and the propagation of chaos and fluctuations associated
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Cited in

(9)

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• Stochastic differential equations with sticky reflection and boundary diffusion
• Sticky Brownian Motion and Its Numerical Solution
• Functional convergence to the local time of a sticky diffusion
• Non-local skew and non-local skew sticky Brownian motions
• Large deviation principles and Malliavin derivative for mean reflected stochastic differential equations
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