Homogenization of a multivariate diffusion with semipermeable interfaces
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arXiv
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| Hauptverfasser: | , , |
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| Format: | Preprint |
| Veröffentlicht: |
2023
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| _version_ | 1866929231266578432 |
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| author | Aryasova, Olga Pavlyukevich, Ilya Pilipenko, Andrey |
| author_facet | Aryasova, Olga Pavlyukevich, Ilya Pilipenko, Andrey |
| contents | We study the homogenization problem for a system of stochastic differential equation with local time terms that models a multivariate diffusion in presence of semipermeable hyperplane interfaces with oblique penetration. We show that this system has a unique weak solution and determine its weak limit as the distances between the interfaces converge to zero. In the limit, the singular local times terms vanish and give rise to an additional regular interface-induced drift. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2303_02740 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | Homogenization of a multivariate diffusion with semipermeable interfaces Aryasova, Olga Pavlyukevich, Ilya Pilipenko, Andrey Probability 60H10, 60F05, 60H17, 60J55 We study the homogenization problem for a system of stochastic differential equation with local time terms that models a multivariate diffusion in presence of semipermeable hyperplane interfaces with oblique penetration. We show that this system has a unique weak solution and determine its weak limit as the distances between the interfaces converge to zero. In the limit, the singular local times terms vanish and give rise to an additional regular interface-induced drift. |
| title | Homogenization of a multivariate diffusion with semipermeable interfaces |
| topic | Probability 60H10, 60F05, 60H17, 60J55 |
| url | https://arxiv.org/abs/2303.02740 |