Skew disperson and continuity of local time

DOI10.1007/S10955-014-1010-2zbMATH Open1300.60099arXiv1106.4350OpenAlexW2097425253MaRDI QIDQ744579FDOQ744579

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

Publication date: 25 September 2014

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

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.

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

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zbMATH Keywords

dispersionoccupation timefirst passage timelocal timeskew Brownian motiondiscontinuous diffusionsemimartingale local time

Mathematics Subject Classification ID

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

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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

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