Moment equations for a piecewise deterministic PDE

Abstract

We analyze a piecewise deterministic PDE consisting of the diffusion equation on a finite interval Ω with randomly switching boundary conditions and diffusion coefficient. We proceed by spatially discretizing the diffusion equation using finite differences and constructing the Chapman–Kolmogorov (CK) equation for the resulting finite-dimensional stochastic hybrid system. We show how the CK equation can be used to generate a hierarchy of equations for the r-th moments of the stochastic field, which take the form of r-dimensional parabolic PDEs on that couple to lower order moments at the boundaries. We explicitly solve the first and second order moment equations (r = 2). We then describe how the r-th moment of the stochastic PDE can be interpreted in terms of the splitting probability that r non-interacting Brownian particles all exit at the same boundary; although the particles are non-interacting, statistical correlations arise due to the fact that they all move in the same randomly switching environment. Hence the stochastic diffusion equation describes two levels of randomness: Brownian motion at the individual particle level and a randomly switching environment. Finally, in the limit of fast switching, we use a quasi-steady state approximation to reduce the piecewise deterministic PDE to an SPDE with multiplicative Gaussian noise in the bulk and a stochastically-driven boundary.