On diffusions in media with pockets of large diffusivity

DOI10.1007/S00440-018-00897-8zbMATH Open1422.60043arXiv1710.03555OpenAlexW2963372831WikidataQ128535980 ScholiaQ128535980MaRDI QIDQ2273604FDOQ2273604

Alexander D. Wentzell, Mark Freidlin, Leonid Koralov

Publication date: 24 September 2019

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Abstract: We consider diffusion processes in media with pockets of large diffusivity. The asymptotic behavior of such processes is described when the diffusion coefficients in the pockets tend to infinity. The limiting process is identified as a diffusion on the space where each of the pockets is treated as a single point, and certain conditions on the behavior of the process on the boundary of the pockets are imposed. Calculation of various probabilities and expectations related to the limiting process leads to new initial-boundary (and boundary) problems for the corresponding parabolic (and elliptic) PDEs.

Full work available at URL: https://arxiv.org/abs/1710.03555

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zbMATH Keywords

convergence of processesnon-standard boundary problemasymptotic problems for diffusion processes and PDEslong-time influence of small perturbations

Mathematics Subject Classification ID

Large deviations (60F10) Markov semigroups and applications to diffusion processes (47D07) Diffusion processes (60J60) Boundary value problems for second-order elliptic equations (35J25)

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Cited In (3)

• Diffusion in the presence of cells with semi-permeable membranes
• On the critical value of the coupling constant in exterior elliptic problems
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