Principal eigenvalue for Brownian motion on a bounded interval with degenerate instantaneous jumps

Iddo Ben-Ari (University of Connecticut)

Abstract


We consider a model of Brownian motion on a bounded open interval with instantaneous jumps. The jumps occur at a spatially dependent rate given by a positive parameter times a continuous function positive on the interval and vanishing on its boundary. At each jump event the process is redistributed uniformly in the interval. We obtain sharp asymptotic bounds on the principal eigenvalue for the generator of the process as the parameter tends to infinity. Our work answers a question posed by Arcusin and Pinsky.

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Pages: 1-13

Publication Date: October 4, 2012

DOI: 10.1214/EJP.v17-1791

References

  • Nitay Arcusin; Ross G. Pinsky, Asymptotic behavior of the principal eigenvalue for a class of non-local elliptic operators related to Brownian motion with spatially dependent random jumps. Commun. Contemp. Math. 13 (2011), no. 6, 1077--1093. MR2873842
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  • Daniel Revuz and Marc Yor, Continuous martingales and Brownian motion, third ed., Grundlehren der Mathematischen Wissenschaften [Fundamental Principles of Mathematical Sciences], vol. 293, Springer-Verlag, Berlin, 1999.
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