The nonlocal boundary value problem for one-dimensional backward Kolmogorov equation and associated semigroup

This paper is devoted to a partial differential equation approach to the problem of construction of Feller semigroups associated with one-dimensional diffusion processes with boundary conditions in theory of stochastic processes. In this paper we investigate the boundary-value problem for a one-dimensional linear parabolic equation of the second order (backward Kolmogorov equation) in curvilinear bounded domain with one of the variants of nonlocal Feller-Wentzell boundary condition. We restrict our attention to the case when the boundary condition has only one term and it is of the integral type. The classical solution of the last problem is obtained by the boundary integral equation method with the use of the fundamental solution of backward Kolmogorov equation and the associated parabolic potentials. This solution is used to construct the Feller semigroup corresponding to such a diffusion phenomenon that a Markovian particle leaves the boundary of the domain by jumps.

A mixed finite-element method for elliptic operators with Wentzell boundary condition

In this paper we introduce and analyze a mixed finite-element approach for a coupled bulk-surface problem of second order with a Wentzell boundary condition. The problem is formulated on a domain with a curved smooth boundary. We introduce a mixed formulation that is equivalent to the usual weak formulation. Furthermore, optimal a priori error estimates between the exact solution and the finite-element approximation are derived. To this end, the curved domain is approximated by a polyhedral domain introducing an additional geometrical error that has to be bounded. A computational result confirms the theoretical findings.