Sticky Brownian Motion and Its Numerical Solution
From MaRDI portal
Publication:5216248
Markov jump processFokker-Planck equationfinite difference methodsKolmogorov equationsticky Brownian motionMarkov chain approximation methodFeller boundary conditionsticky random walkgeneralized Wentzell boundary condition
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)
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 with a strong, short-ranged potential energy near the origin. This is a limit that accurately models mesoscale particles, those with diameters nm-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.
Recommendations
- Sticky Brownian motions and a probabilistic solution to a two-point boundary value problem
- Stochastic differential equations for sticky Brownian motion
- Application of stochastic flows to the sticky Brownian motion equation
- On some properties of sticky Brownian motion
- The Bethe ansatz for sticky Brownian motions
- Fick law and sticky Brownian motions
- NUMERICAL APPROACH TO FOKKER–PLANCK EQUATIONS FOR BROWNIAN MOTORS
- BROWNIAN MOTION IN A TWO-DIMENSIONAL POTENTIAL: A NEW NUMERICAL SOLUTION METHOD
- Publication:4938933
- Sticky Bessel diffusions
Cites work
- scientific article; zbMATH DE number 1577097 (Why is no real title available?)
- scientific article; zbMATH DE number 1631027 (Why is no real title available?)
- scientific article; zbMATH DE number 5913352 (Why is no real title available?)
- scientific article; zbMATH DE number 3145615 (Why is no real title available?)
- scientific article; zbMATH DE number 5689010 (Why is no real title available?)
- scientific article; zbMATH DE number 3736679 (Why is no real title available?)
- scientific article; zbMATH DE number 43057 (Why is no real title available?)
- scientific article; zbMATH DE number 49093 (Why is no real title available?)
- scientific article; zbMATH DE number 1047448 (Why is no real title available?)
- scientific article; zbMATH DE number 1082719 (Why is no real title available?)
- scientific article; zbMATH DE number 2006037 (Why is no real title available?)
- scientific article; zbMATH DE number 1560604 (Why is no real title available?)
- scientific article; zbMATH DE number 3349081 (Why is no real title available?)
- scientific article; zbMATH DE number 3065414 (Why is no real title available?)
- $C_0$-semigroups generated by second order differential operators with general Wentzell boundary conditions
- A positive interest rate model with sticky barrier
- A probabilistic solution to the Stroock-Williams equation
- A robust numerical algorithm for studying biomolecular transport processes
- A structure-preserving numerical discretization of reversible diffusions
- A survey of results on nonlinear Venttsel problems.
- A symmetrized Euler scheme for an efficient approximation of reflected diffusions
- An algorithmic introduction to numerical simulation of stochastic differential equations
- Association rates of diffusion-controlled reactions in two dimensions
- Brownian motions on a half line
- Colloidal matter: Packing, geometry, and entropy
- Continuous-time random walks for the numerical solution of stochastic differential equations
- Diffusion Processes in One Dimension
- Diffusion processes with boundary conditions
- Euler schemes and half-space approximation for the simulation of diffusion in a domain
- Fick law and sticky Brownian motions
- Finite difference methods for the weak solutions of the Kolmogorov equation for the density of both diffusion and conditional diffusion processes
- Generalized second order differential operators and their lateral conditions
- Homogenization and propagation of chaos to a nonlinear diffusion with sticky reflection
- Langevin dynamics with constraints and computation of free energy differences
- Large deviations for sticky Brownian motions
- Large deviations techniques and applications.
- Linear parabolic equations with venttsel initial boundary conditions
- Linear second order elliptic equations with Venttsel boundary conditions
- Markoff Chains--Denumerable Case
- Monte Carlo on Manifolds: Sampling Densities and Integrating Functions
- Multiple scale and singular perturbation methods
- Numerical Approximations for Stochastic Differential Games
- Numerical Approximations for Stochastic Differential Games: The Ergodic Case
- Numerical approximations for stochastic systems with delays in the state and control
- Numerical computation of rare events via large deviation theory
- Numerical methods for controls for nonlinear stochastic systems with delays and jumps: applications to admission control
- Probabilistic methods for finite difference approximations to degenerate elliptic and parabolic equations with Neumann and Dirichlet boundary conditions
- Probability limit theorems and the convergence of finite difference approximations of partial differential equations
- Probability methods for approximations in stochastic control and for elliptic equations
- Probability methods for the convergence of finite difference approximations to partial differential equations
- Projection of diffusions on submanifolds: Application to mean force computation
- Rates of Convergence for Approximation Schemes in Optimal Control
- SPECTRWM: Spectral Random Walk Method for the Numerical Solution of Stochastic Partial Differential Equations
- Steady states in a structured epidemic model with Wentzell boundary condition
- Sticky Brownian motion as the limit of storage processes
- Sticky Brownian motion as the strong limit of a sequence of random walks
- Sticky couplings of multidimensional diffusions with different drifts
- Stochastic differential equations for sticky Brownian motion
- Stochastic methods. A handbook for the natural and social sciences
- The approximate calculation of invariant measures of diffusions via finite difference approximations to degenerate elliptic partial differential equations
- The heat equation with generalized Wentzell boundary condition.
- The parabolic differential equations and the associated semigroups of transformation
- Topics in the Theory of Markoff Chains
- Transition Path Theory for Markov Jump Processes
Cited in
(17)- Elastic drifted Brownian motions and non-local boundary conditions
- Simulation of N-dimensional second-order fluid models with different absorbing, reflecting and mixed barriers
- A functional limit theorem for coin tossing Markov chains
- BROWNIAN MOTION IN A TWO-DIMENSIONAL POTENTIAL: A NEW NUMERICAL SOLUTION METHOD
- Numerical solution of a model for stochastic polymer equation driven by space-time Brownian motion via homotopy perturbation method
- Functional convergence to the local time of a sticky diffusion
- Continuous-time random walks for the numerical solution of stochastic differential equations
- Numerical stability of the method of Brownian configuration fields
- The sticky Lévy process as a solution to a time change equation
- Brownian motion with stiff bonds and rigid constraints
- Sticky Brownian motions and a probabilistic solution to a two-point boundary value problem
- Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation
- The Bethe ansatz for sticky Brownian motions
- Optimization and growth in first-passage resetting
- Markov chain approximation of one-dimensional sticky diffusions
- Termination as an incentive device
- Construction and analysis of a sticky reflected distorted Brownian motion
This page was built for publication: Sticky Brownian Motion and Its Numerical Solution
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5216248)
