ORIGINAL ARTICLE
Approximation of skew Brownian motion by snapping-out Brownian motions
Adam Bobrowski,
Elżbieta Ratajczyk,
Adam Bobrowski
Department of Mathematics, Lublin University of Technology, Nadbystrzycka, Lublin, Poland
Search for more papers by this authorCorresponding Author
Elżbieta Ratajczyk
Department of Mathematics, Lublin University of Technology, Nadbystrzycka, Lublin, Poland
Correspondence
Elżbieta Ratajczyk, Department of Mathematics, Lublin University of Technology, Nadbystrzycka 38A, 20-618 Lublin, Poland.
Email: [email protected]
Search for more papers by this authorAdam Bobrowski,
Elżbieta Ratajczyk,
Adam Bobrowski
Department of Mathematics, Lublin University of Technology, Nadbystrzycka, Lublin, Poland
Search for more papers by this authorCorresponding Author
Elżbieta Ratajczyk
Department of Mathematics, Lublin University of Technology, Nadbystrzycka, Lublin, Poland
Correspondence
Elżbieta Ratajczyk, Department of Mathematics, Lublin University of Technology, Nadbystrzycka 38A, 20-618 Lublin, Poland.
Email: [email protected]
Search for more papers by this authorAbstract
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.
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