On the Neumann problem for PDE's with a small parameter and the corresponding diffusion processes (Q664345)

This paper deals with the diffusion process in a region \(G\subset \mathbb R^2\) governed by the operator \(\tilde L^{\varepsilon}={1\over 2}u_{xx}+{1\over 2\varepsilon}u_{zz}\) inside the region and undergoing instantaneous co-normal reflection at the boundary. This process \((X_{t}^{\varepsilon},Z_{t}^{\varepsilon})\) can be described by the stochastic equations \[ dX_{t}^{\varepsilon}=dW_{t}^1+\nu_1^{\varepsilon}(X_{t}^{\varepsilon},Z_{t}^{\varepsilon})d\phi_{t}^{\varepsilon}, \;\;dZ_{t}^{\varepsilon}=\varepsilon^{-1/2}dW_{t}^2+\nu_2^{\varepsilon}(X_{t}^{\varepsilon},Z_{t}^{\varepsilon})d\phi_{t}^{\varepsilon}, \] where \((W_{t}^1,W_{t}^2)\) is the standard two-dimensional Wiener process, and \(\phi_{t}^{\varepsilon}\) the local time of the process \((X_{t}^{\varepsilon},Z_{t}^{\varepsilon})\). The second component of the process \((X_{t}^{\varepsilon},Z_{t}^{\varepsilon})\) is its fast component, while its first component is slow. The authors show that the slow component of this process converges to a diffusion process on a certain graph corresponding to the problem. This allows to find the main term of the asymptotic for the solution of the corresponding Neumann problem in \(G\).