One-dimensional diffusion processes with moving membrane: partial reflection in combination with jump-like exit of process from membrane

DOI10.1214/20-EJP443MaRDI QIDQ2184602zbMATH OpenFDO

Authors B. I. Kopytko, Roman Shevchuk

Publication date 29 May 2020

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1912.12433, https://projecteuclid.org/euclid.ejp/1585620096

zbMATH Keywords

parabolic potentialmethod of successive approximationsWentzell boundary conditionFeller semigroup

Mathematics Subject Classification ID

Diffusion processes (60J60) Initial-boundary value problems for second-order parabolic equations (35K20)

Abstract: We use analytical methods to construct the two-parameter Feller semigroup associated with a Markov process on a line with a moving membrane such that at the points on both sides of the membrane it coincides with the ordinary diffusion processes given there and its behavior after reaching the membrane is described by a kind of nonlocal Feller-Wentzell conjugation condition.

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Cited in

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• One-dimensional model of the diffusion process with a membrane that is described by the Feller-Wentzel conjugation condition
• One-dimensional diffusion processes in half-bounded domains with reflection and a possible jump-like exit from a moving boundary
• One-dimensional diffusions in bounded domains with a possible jump-like exit from a sticky boundary
• One-dimensional Wiener process with the properties of partial reflection and delay
• On a skew stable Lévy process
• Diffusion in Media with Membranes and Some Nonlocal Parabolic Problems

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