On diffusions in media with pockets of large diffusivity

DOI10.1007/S00440-018-00897-8MaRDI QIDQ2273604zbMATH OpenOpenAlexWikidataFDO

Authors Leonid Koralov, Mark Freidlin, Alexander D. Wentzell

Publication date 24 September 2019

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

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

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)

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.

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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
• On the long-time behavior of a perturbed conservative system with degeneracy

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