One-dimensional heat equation with discontinuous conductance

DOI10.1007/S11425-014-4912-1zbMATH Open1322.60129arXiv1312.7396OpenAlexW2270405214MaRDI QIDQ2018910FDOQ2018910

Authors: Zhen-Qing Chen, Mounir Zili 

Publication date: 26 March 2015

Published in: Science China. Mathematics (Search for Journal in Brave)

Abstract: We study a second-order parabolic equation with divergence form elliptic operator, having piecewise constant diffusion coefficients with two points of discontinuity. Such partial differential equations appear in the modelization of diffusion phenomena in medium consisting of three kind of materials. Using probabilistic methods, we present an explicit expression of the fundamental solution under certain conditions. We also derive small-time asymptotic expansion of the PDE's solutions in the general case. The obtained results are directly usable in applications.

Full work available at URL: https://arxiv.org/abs/1312.7396

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zbMATH Keywords

asymptotic expansionstochastic differential equationskew Brownian motionstrong solutionheat kernelone-dimensional heat equationsemimartingale local timediscontinuous conductance

Mathematics Subject Classification ID

Brownian motion (60J65) Generalizations of martingales (60G48) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Heat kernel (35K08) Second-order parabolic equations (35K10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Local time and additive functionals (60J55)

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Cited In (12)

• On mild and weak solutions for stochastic heat equations with piecewise-constant conductivity
• Analytic Expressions of the Solutions of Advection-Diffusion Problems in One Dimension with Discontinuous Coefficients
• Spatial quadratic variations for the solution to a stochastic partial differential equation with elliptic divergence form operator
• Fechner’s Distribution and Connections to Skew Brownian Motion
• Exact variations for stochastic heat equations with piecewise constant coefficients and application to parameter estimation
• One-dimensional stochastic heat equation with discontinuous conductance
• Fractional stochastic heat equation with piecewise constant coefficients
• Construction of a fundamental solution of a parabolic partial differential equation with piecewise constant coefficients
• Title not available (Why is that?)
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• A central limit theorem, loss aversion and multi-armed bandits
• Stochastic heat equation with piecewise constant coefficients and generalized fractional type noise

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