Occupation and local times for skew Brownian motion with applications to dispersion across an interface (Q627242): Difference between revisions

Loosely speaking a skew Brownian motion is a Brownian motion with two different diffusion coefficients \(D^-\) and \(D^+\) on the negative and positive half-lines, respectively. The paper provides new theoretical results for functionals of skew Brownian motions and its associated semi-group theory. In particular, the trivariate density of position, the symmetric local time at zero and the occupation time on the positive half-line are obtained via a Feynman-Kac formula for an elastic skew Brownian motion. Also, an elastic change of measure is devised to obtain an integral representation of the transition density for a skew Brownian motion with non-zero drift. Besides this, several other distributional results on functionals of skew Brownian motions are given. The paper concludes with a specific application to dispersion across an interface. In an actual physical experiment by \textit{B. Berkowitz, A. Cortis, I. Dror} and \textit{H. Scher} [``Laboratory experiments on dispersive transport across interfaces: the role of flow direction'', Water Resour. Res. 45, W02201 (2009), \url{doi:10.1029/2008WR007342}], it was experimentally observed that fine to coarse breakthrough is faster than coarse to fine breakthrough. The theoretical results given in the present paper explain this phenomenon within the framework of Fickian flux laws. Here, fine and course media are characterized by their relative dispersion rates \(D^{-}< D^+\).