Sticky Brownian Motion and Its Numerical Solution

DOI10.1137/19M1268446zbMATH Open1444.60048arXiv1906.06803OpenAlexW3006462988MaRDI QIDQ5216248FDOQ5216248

Nawaf Bou-Rabee, Miranda Holmes-Cerfon

Publication date: 17 February 2020

Published in: SIAM Review (Search for Journal in Brave)

Abstract: Sticky Brownian motion is the simplest example of a diffusion process that can spend finite time both in the interior of a domain and on its boundary. It arises in various applications such as in biology, materials science, and finance. This article spotlights the unusual behavior of sticky Brownian motions from the perspective of applied mathematics, and provides tools to efficiently simulate them. We show that a sticky Brownian motion arises naturally for a particle diffusing on $mathbb{R}_{+}$ with a strong, short-ranged potential energy near the origin. This is a limit that accurately models mesoscale particles, those with diameters $approx100$nm-$10mu$m, which form the building blocks for many common materials. We introduce a simple and intuitive sticky random walk to simulate sticky Brownian motion, that also gives insight into its unusual properties. In parameter regimes of practical interest, we show this sticky random walk is two to five orders of magnitude faster than alternative methods to simulate a sticky Brownian motion. We outline possible steps to extend this method towards simulating multi-dimensional sticky diffusions.

Full work available at URL: https://arxiv.org/abs/1906.06803

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zbMATH Keywords

Markov jump processFokker-Planck equationfinite difference methodsKolmogorov equationsticky Brownian motionMarkov chain approximation methodFeller boundary conditionsticky random walkgeneralized Wentzell boundary condition

Mathematics Subject Classification ID

Diffusion processes (60J60) Brownian motion (60J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Heat equation (35K05) Initial-boundary value problems for second-order parabolic equations (35K20) Numerical solutions to stochastic differential and integral equations (65C30) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)

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Cited In (16)

• Numerical solution of a model for stochastic polymer equation driven by space-time Brownian motion via homotopy perturbation method
• Continuous-time Random Walks for the Numerical Solution of Stochastic Differential Equations
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• Elastic drifted Brownian motions and non-local boundary conditions
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• A functional limit theorem for coin tossing Markov chains
• BROWNIAN MOTION IN A TWO-DIMENSIONAL POTENTIAL: A NEW NUMERICAL SOLUTION METHOD
• Numerical stability of the method of Brownian configuration fields
• Termination as an incentive device

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