Periodic homogenization with an interface: the one-dimensional case
The subject of the article is a one-dimensional diffusion process \(X(t)\) with unit diffusion coefficient and special drift function \(b:\mathbb{R}\to\mathbb{R}\), namely: at fixed \(0<\eta<\infty 0\), \(b(x)=b_{+}(x-\eta)\) for \(x>\eta\) and \(b(x)=b_{-}(x+\eta)\) for \(x<-\eta\), when \(b_{\pm}\) are smooth and periodic functions, such that \(b_{\pm}(x)=b_{\pm}(x+1)\) and \(\int\limits_{0}^{1}b_{\pm}(x)dx=0\). The authors prove the weak convergence of the diffusively rescaled process \(X^{\epsilon}:=\epsilon X(t/\epsilon^{2}\) at \(\epsilon\to 0\) to the process \(G(B_{p}(t)\) in the space \(C([0,t),\mathbb{R})\); here \(G(x)=C_{+}x\) if \(x\geq 0\) and \(C_{-}x\) otherwise; \(B_{p}(t)\) is a skew-Brownian motion with parameter \(p\). The constants \(C_{\pm}\) and \(p\) are defined constructively. The process \(B_{p}(t)\) is regarded as the strong solution of the following SDE \(Y(t)=y+B(t)+(2p-1)L_{t}^{0}(Y)\), where \(L_{t}^{0}(Y)\) is the local time at \(0\) of \(Y\) and \(B(t)\) is the Brownian motion.
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