Stochastic Homogenization of Reflected Diffusion Processes
Probability
2009-09-18 v3 Analysis of PDEs
Abstract
We investigate a functional limit theorem (homogenization) for Reflected Stochastic Differential Equations on a half-plane with stationary coefficients when it is necessary to analyze both the effective Brownian motion and the effective local time. We prove that the limiting process is a reflected non-standard Brownian motion. Beyond the result, this problem is known as a prototype of non-translation invariant problem making the usual method of the "environment as seen from the particle" inefficient.
Cite
@article{arxiv.0712.3416,
title = {Stochastic Homogenization of Reflected Diffusion Processes},
author = {Remi Rhodes},
journal= {arXiv preprint arXiv:0712.3416},
year = {2009}
}
Comments
29 pages