Skew disperson and continuity of local time

DOI10.1007/S10955-014-1010-2MaRDI QIDQ744579zbMATH OpenOpenAlexFDO

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

Publication date 25 September 2014

Published in Journal of Statistical Physics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1106.4350

zbMATH Keywords

discontinuous diffusiondispersionfirst passage timelocal timeoccupation timesemimartingale local timeskew Brownian motion

Mathematics Subject Classification ID

PDEs with low regular coefficients and/or low regular data (35R05) Markov semigroups and applications to diffusion processes (47D07) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Hydrology, hydrography, oceanography (86A05)

Abstract: Advection and dispersion in highly heterogeneous environments involving interfacial discontinuities in the corresponding drift and dispersion rates are described through disparate examples from the physical and biological sciences. A mathematical framework is formulated to address specific empirical phenomena involving first passage time and occupation time functionals observed in relation to the interfacial parameters.

Recommendations

• Occupation and local times for skew Brownian motion with applications to dispersion across an interface
• A Generalized Taylor–Aris Formula and Skew Diffusion
• Continuity of local time: an applied perspective
• Advection-dispersion across interfaces
• scientific article; zbMATH DE number 1303468

Cites work

• “Skew-Brownian Motion” and Derived Processes
• A Generalized Taylor–Aris Formula and Skew Diffusion
• A property of Brownian motion paths
• A scheme for simulating one-dimensional diffusion processes with discontinuous coefficients
• Advection-dispersion across interfaces
• Asymptotic Behavior of Skew Conditional Heat Kernels on Graph Networks
• Asymptotic survival probabilities in the random saturation process.
• Brownian motions on a half line
• Diffusion processes on graphs: Stochastic differential equations, large deviation principle
• First passage time analysis of animal movement and insights into the functional response
• First passage time of skew Brownian motion
• scientific article; zbMATH DE number 4178244 (Why is no real title available?)
• scientific article; zbMATH DE number 3878098 (Why is no real title available?)
• scientific article; zbMATH DE number 1245556 (Why is no real title available?)
• scientific article; zbMATH DE number 1515832 (Why is no real title available?)
• scientific article; zbMATH DE number 3206627 (Why is no real title available?)
• Limit Behavior of the "Horizontal-Vertical" Random Walk and Some Extensions of the Donsker-Prokhorov Invariance Principle
• Multi-skewed Brownian motion and diffusion in layered media
• Multidimensional diffusion processes.
• Occupation and local times for skew Brownian motion with applications to dispersion across an interface
• On skew Brownian motion
• On the constructions of the skew Brownian motion
• On the continuity of local times of Borel right Markov processes
• Population persistence under advection-diffusion in river networks
• Recursion formulae for the characteristic polynomial of symmetric banded matrices
• Spatial Ecology via Reaction‐Diffusion Equations
• Three-dimensional modeling of mass transfer in porous media using the mixed hybrid finite elements and the random-walk methods
• Uniform deterministic equivalent of additive functionals and non-parametric drift estimation for one-dimensional recurrent diffusions

Cited in

(2)

• An Euler-Maruyama method for diffusion equations with discontinuous coefficients and a family of interface conditions
• Weak Approximation for a Black-Scholes Type Regime Switching Model

This page was built for publication: Skew disperson and continuity of local time

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q744579)