Skew Brownian diffusions across Koch interfaces

Abstract

We consider planar skew Brownian motion (BM) across pre-fractal Koch interfaces $\partial {\Omega }^n$ and moving on $\overline{{\Omega }^n}\cup {\Sigma }^n={\Omega }_{\epsilon }^n$. We study the asymptotic behaviour of the corresponding multiplicative additive functionals when thickness of ${\Sigma }^n$ and skewness coefficients vanish with different rates.

in Potential Analysis (2016)

References in corpus (4)

• On the constructions of the skew Brownian motion
• A scheme for simulating one-dimensional diffusion processes with discontinuous coefficients
• Traces of symmetric Markov processes and their characterizations
• On the Robin problem in fractal domains

Cited by in corpus (1)

• Fractional equations via convergence of forms