On some properties of reflected skew Brownian motions and applications to dispersion in heterogeneous media

DOI10.1016/J.PHYSA.2016.02.041zbMATH Open1400.60129OpenAlexW2291034247MaRDI QIDQ1619554FDOQ1619554

Authors: Shiyu Song, Suxin Wang, Yongjin Wang 

Publication date: 13 November 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2016.02.041

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zbMATH Keywords

simulationtransition densityheterogeneous mediafirst-passage timephysical reflected skew diffusionreflected skew Brownian motion

Mathematics Subject Classification ID

Interacting random processes; statistical mechanics type models; percolation theory (60K35)

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Cited In (4)

• Forecasting portfolio returns with skew-geometric Brownian motions
• Occupation and local times for skew Brownian motion with applications to dispersion across an interface
• Effective conductivity and skew Brownian motion.
• A probabilistic interpretation of the transmission conditions using the skew Brownian motion

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