An SPDE with Robin-type boundary for a system of elastically killed diffusions on the positive half-line

Abstract

We consider a system of particles undergoing correlated diffusion with elastic boundary conditions on the half-line in the limit as the number of particles goes to infinity. We establish existence and uniqueness for the limiting empirical measure valued process for the surviving particles, which is a weak form for an SPDE with a noisy Robin boundary condition satisfied by the particle density. We show that this density process has good $L^2$-regularity properties in the interior of the domain but may exhibit singularities on the boundary at a dense set of times. We make connections to the corresponding absorbing and reflecting SPDEs as the elastic parameter varies.