Pointwise weak existence of distorted skew Brownian motion with respect to discontinuous Muckenhoupt weights

Abstract: For any starting point in

m a t h b b R^{d}

, we identify the stochastic differential equation that is satisfied by distorted Brownian motion with respect to a certain discontinuous Muckenhoupt

A_{2}

-weight

p s i

. The discontinuities of

p s i

typically take place on a sequence of level sets of the Euclidean norm

D_{k} := x i n m a t h b b R^{d}, |; | x | = d_{k}

,

k i n m a t h b b Z

, where

(d_{k})_{k i n m a t h b b Z} s u b s e t (0, i n f t y)

may have accumulation points and each level set

D_{k}

plays the role of a permeable membrane.

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