Approximation of skew Brownian motion by snapping‐out Brownian motions
Abstract We elaborate on the theorem saying that as permeability coefficients of snapping‐out Brownian motions tend to infinity in such a way that their ratio remains constant, these processes converge to a skew Brownian motion. In particular, convergence of the related semigroups, cosine families, and projections is discussed.
Authors
- Elżbieta Ratajczyk (ORCID: https://orcid.org/0000-0001-5018-7174)
- Adam Bobrowski (ORCID: https://orcid.org/0000-0002-4080-4500)
Institutions
- Lublin University of Technology (PL)
Publication Details
- Journal
- Mathematische Nachrichten
- Published
- 2025-02-06
- DOI
- https://doi.org/10.1002/mana.202400179
- Citations
- 3
- Primary Topic
- Stochastic processes and financial applications
- Type
- article
- Field-Weighted Citation Impact
- 6.62