One-dimensional stochastic equations in layered media with semi-permeable barriers

Makhno, Sergei Ya.

doi:10.1515/rose-2016-0013

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Cited by 5 publications

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“…Concerning the homogenization problem, besides the works cited in the beginning of the paper, the following authors studied homogenization of (regular) diffusions by analytic and stochastic methods: Pardoux [29], Pavliotis and Stuart [30], Hairer and Pardoux [13], Makhno [23].…”

Section: (Left)mentioning

confidence: 99%

Homogenization of a multivariate diffusion with semipermeable interfaces

Aryasova¹,

Pavlyukevich²

2023

Preprint

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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.

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