Sticky Brownian Motion & Its Numerical Solution

Bou-Rabee Nawaf, Rutgers

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 talk spotlights the unusual behavior of sticky Brownian motions from the perspective of applied mathematics, and provides tools to efficiently simulate them. We introduce a simple and intuitive sticky random walk to simulate sticky Brownian motion, that also gives insight into its unusual properties.

Area: CS50 - Anomalous phenomena on regular and irregular domains (Mirko D'Ovidio)

Keywords: sticky Brownian motion, sticky random walk, Feller boundary condition

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