Approximation of skew Brownian motion by snapping‐out Brownian motions

Adam Bobrowski and Elżbieta Ratajczyk

Mathematische Nachrichten, 2025, vol. 298, issue 3, 829-848

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.

Date: 2025
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https://doi.org/10.1002/mana.202400179

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