Partially Reflected Diffusion

Abstract

The radiation (reaction, Robin) boundary condition for the continuum diffusion equation is widely used in chemical and biological applications to express reactive boundaries. The underlying trajectories of the diffusing particles are believed to be partially absorbed and partially reflected at the reactive boundary, however, the relation between the reaction (radiation) constant in the Robin boundary condition and the reflection probability is still unclear. In this paper we clarify the issue by finding the relation between the reaction (radiation) constant and the absorption probability of the diffusing trajectories at the boundary. We analyze the Euler scheme for the underlying Itô dynamics, which is assumed to have variable drift and diffusion tensor, with partial reflection at the boundary. Trajectories that cross the boundary are terminated with a given probability and otherwise are reflected in a normal or oblique direction. We use boundary layer analysis of the corresponding Wiener path integral to resolve the non-uniform convergence of the probability density function of the numerical scheme to the solution of the Fokker-Planck equation with the Robin boundary condition, as the time step is decreased. We show that the Robin boundary condition is recovered in the limit iff trajectories are reflected in the co-normal direction. We find the relation of the reactive constant to the termination probability. We show the effect of using the new relation in numerical simulations.