Occupation and local times for skew Brownian motion with applications to dispersion across an interface

DOI10.1214/10-AAP691zbMath1226.60113arXiv1204.0271OpenAlexW2006735074MaRDI QIDQ627242

Thilanka A. Appuhamillage, Brian D. Wood, Vrushali A. Bokil, Edward C. Waymire, Enrique A. Thomann

Publication date: 21 February 2011

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1204.0271

zbMATH Keywords

advection-diffusionstochastic orderlocal timeoccupation timefirst passage timeskew Brownian motionelastic skew Brownian motionFickian flux laws

Mathematics Subject Classification ID

Markov semigroups and applications to diffusion processes (47D07) Other physical applications of random processes (60K40) Integral representations of solutions to PDEs (35C15) Martingales with continuous parameter (60G44) PDEs with low regular coefficients and/or low regular data (35R05) Local time and additive functionals (60J55) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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