Periodic homogenization with an interface: the multi-dimensional case

DOI10.1214/10-AOP564MaRDI QIDQ2431521zbMATH OpenOpenAlexWikidataFDO

Authors Charles Manson, Martin Hairer

Publication date 15 April 2011

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0909.2606

zbMATH Keywords

interfacelocal timeperiodic homogenizationskew Brownian motion

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)

Abstract: We consider a diffusion process with coefficients that are periodic outside of an "interface region" of finite thickness. The question investigated in this article is the limiting long time/large scale behavior of such a process under diffusive rescaling. It is clear that outside of the interface, the limiting process must behave like Brownian motion, with diffusion matrices given by the standard theory of homogenization. The interesting behavior therefore occurs on the interface. Our main result is that the limiting process is a semimartingale whose bounded variation part is proportional to the local time spent on the interface. The proportionality vector can have nonzero components parallel to the interface, so that the limiting diffusion is not necessarily reversible. We also exhibit an explicit way of identifying its parameters in terms of the coefficients of the original diffusion. Similarly to the one-dimensional case, our method of proof relies on the framework provided by Freidlin and Wentzell [Ann. Probab. 21 (1993) 2215--2245] for diffusion processes on a graph in order to identify the generator of the limiting process.

Review text

From the authors' abstract: We consider a diffusion process with coefficients that are periodic outside of an ``interface region of finite thickness. The question investigated in this article is the limiting long time/large scale behavior of such a process under diffusive rescaling. It is clear that outside of the interface, the limiting process must behave like Brownian motion, with diffusion matrices given by the standard theory of homogenization. The interesting behavior therefore occurs on the interface. Our main result is that the limiting process is a semimartingale whose bounded variation part is proportional to the local time spent on the interface. The proportionality vector can have nonzero components parallel to the interface so that the limiting diffusion is not necessarily reversible. We also exhibit an explicit way of identifying its parameters in terms of the coefficients of the original diffusion. Similarly to the one-dimensional case, our method of proof relies on the framework provided by \textit{M. I. Freidlin} and \textit{A. D. Wentzell} [Ann. Probab. 21, No. 4, 2215--2245 (1993; Zbl 0795.60042)] for diffusion processes on a graph in order to identify the generator of the limiting process.

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Cited in

(16)

• The limiting behaviour of periodic media with soft-modular inclusions
• On dynamical systems perturbed by a null-recurrent motion: the general case
• Homogenization and localization for a 1D eigenvalue problem in a periodic medium with an interface
• On dynamical systems perturbed by a null-recurrent fast motion: the continuous coefficient case with independent driving noises
• Local Profiles for Elliptic Problems at Different Scales: Defects in, and Interfaces between Periodic Structures
• On the treatments of heterogeneities and periodic boundary conditions for isogeometric homogenization analysis
• Periodic homogenization with an interface
• Averaging for BSDEs with null recurrent fast component. Application to homogenization in a non periodic media
• Some quantitative homogenization results in a simple case of interface
• Advection-dispersion across interfaces
• Parabolic homogenization with an interface
• Homogenization of a multivariate diffusion with semipermeable interfaces
• Homogenization of a reaction-diffusion problem with large nonlinear drift and Robin boundary data
• Quantitative estimates in elliptic homogenization of non-divergence form with unbounded drifts and an interface
• Stochastic averaging for a Hamiltonian system with skew random perturbations
• Periodic homogenization with an interface: the one-dimensional case

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