
handle: 2434/194161
Multi-skewed Brownian motion Bα = {Bαt: t ≥ 0} with skewness sequence α = {αk: k ∈ Z} and interface set S = {xk: k ∈ Z} is the solution to Xt = X0 + Bt + ∫R LX(t, x)dμ(x) with μ = ∑k∈Z(2αk - 1)δxk We assume that αk ∈ (0, 1)\{1/2} and that S has no accumulation points. The process Bα generalizes skew Brownian motion to the case of an infinite set of interfaces. Namely, the paths of Bα behave like Brownian motion in R\S, and on Bα0 = xk the probability of reaching xk + δ before xk - δ is αk, for any δ small enough, and k ∈ Z. In this paper, a thorough analysis of the structure of Bα is undertaken, including the characterization of its infinitesimal generator and conditions for recurrence and positive recurrence. The associated Dirichlet form is used to relate Bα to a diffusion process with piecewise constant diffusion coefficient. As an application, we compute the asymptotic behavior of a diffusion process corresponding to a parabolic partial differential equation in a two-dimensional periodic layered geometry.
| selected citations These citations are derived from selected sources. This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically). | 1 | |
| popularity This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network. | Average | |
| influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically). | Average | |
| impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network. | Average |
