Skew Brownian diffusions across Koch interfaces

DOI10.1007/S11118-016-9588-4zbMATH Open1367.60102arXiv1412.7385OpenAlexW3101321914MaRDI QIDQ525069FDOQ525069

Authors: R. Capitanelli, Mirko D'Ovidio 

Publication date: 28 April 2017

Published in: Potential Analysis (Search for Journal in Brave)

Abstract: We consider planar skew Brownian motion (BM) across pre-fractal Koch interfaces $partialOmeg{a}^n$ and moving on $overlineOmeg{a}^{n}cupSigm{a}^n=Omeg{a}_v^{n}arepsilon$. We study the asymptotic behaviour of the corresponding multiplicative additive functionals when thickness of $Sigm{a}^n$ and skewness coefficients vanish with different rates.

Full work available at URL: https://arxiv.org/abs/1412.7385

Recommendations

• Multi-skewed Brownian motion and diffusion in layered media
• Occupation and local times for skew Brownian motion with applications to dispersion across an interface
• scientific article; zbMATH DE number 1303468
• Two consistent estimators for the skew Brownian motion
• Periodic homogenization with an interface: the one-dimensional case

zbMATH Keywords

boundary value problemsskew Brownian motionadditive functionalsfractalsDirichlet formMosco convergenceRevuz correspondence

Mathematics Subject Classification ID

Diffusion processes (60J60) Brownian motion (60J65) Fractals (28A80) Boundary value problems for second-order elliptic equations (35J25) Local time and additive functionals (60J55)

Cites Work

• Foundations of Modern Probability
• Reinforcement problems for elliptic equations and variational inequalities
• On skew Brownian motion
• Dirichlet forms and symmetric Markov processes
• On the multi-dimensional skew Brownian motion
• A scheme for simulating one-dimensional diffusion processes with discontinuous coefficients
• Multi-skewed Brownian motion and diffusion in layered media
• Symmetric Markov processes, time change, and boundary theory
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Occupation and local times for skew Brownian motion with applications to dispersion across an interface
• On the constructions of the skew Brownian motion
• Convergence of convex sets and of solutions of variational inequalities
• Neumann and Dirichlet heat kernels in inner uniform domains
• Title not available (Why is that?)
• Title not available (Why is that?)
• Thick points for planar Brownian motion and the Erdős-Taylor conjecture on random walk
• Some potential theory for reflecting Brownian motion in Hölder and Lipschitz domains
• Stopping times and tightness
• Effective conductivity and skew Brownian motion.
• Title not available (Why is that?)
• Skorokhod decomposition of reflected diffusions on bounded Lipschitz domains with singular non-reflection part
• On the Robin problem in fractal domains
• On reflecting diffusion processes and Skorokhod decompositions
• Composite media and asymptotic Dirichlet forms
• Stopping Times and Γ-Convergence
• A construction of reflecting barrier Brownian motions for bounded domains
• Probabilistic approach to the equilibrium problem in potential theory
• Kac's moment formula and the Feynman-Kac formula for additive functionals of a Markov process
• Stopping times and tightness. II
• Traps for reflected Brownian motion
• Traces of symmetric Markov processes and their characterizations
• Asymptotics for mixed Dirichlet-Robin problems in irregular domains
• Insulating layers of fractal type.
• On the Laplacean transfer across fractal mixtures
• Insulating layers and Robin problems on Koch mixtures
• Title not available (Why is that?)
• Homogénéisation pour des processus associés à des frontières perméables
• Reinforcement problems in the calculus of variations
• Last exit times and additive functionals
• Occupation times of compact sets by planar Brownian motion
• Weak convergence of reflecting Brownian motions
• Uniqueness for reflecting Brownian motion in Lip domains
• A convergence theorem for Dirichlet forms with applications to boundary value problems with varying domains
• Convergence of time changed skew product diffusion processes
• Pathwise uniqueness for reflecting Brownian motion in certain planar Lipschitz domains
• Title not available (Why is that?)
• Title not available (Why is that?)
• Additive Functionals of Markov Processes in Duality

Cited In (3)

• Asymptotics for time-changed diffusions
• Fractional equations via convergence of forms
• Multi-skewed Brownian motion and diffusion in layered media

This page was built for publication: Skew Brownian diffusions across Koch interfaces

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q525069)