Homogenization of a multivariate diffusion with semipermeable interfaces
Probability
2024-02-05 v3
Abstract
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.
Cite
@article{arxiv.2303.02740,
title = {Homogenization of a multivariate diffusion with semipermeable interfaces},
author = {Olga Aryasova and Ilya Pavlyukevich and Andrey Pilipenko},
journal= {arXiv preprint arXiv:2303.02740},
year = {2024}
}
Comments
25 pages, 1 figure; minor editorial corrections. To appear in the Journal of Theoretical Probability