One-dimensional skew diffusions: explicit expressions of densities and resolvent kernels
Year: 2015
Type: report
Abstract: The study of skew diffusion is of primary concern for their implication in the mod-eling and simulation of diffusion phenomenons in media with interfaces. First, we provide results on one-dimensional processes with discontinuous coefficients and their connections with the Feller theory of generators as well as the oneof stochastic differential equations involving local time. Second, in view of developing new simulation techniques, we give a method to compute the density and the resolvent kernel of skew diffusions which can be extended to Feller processes in general. Explicit closed-form are given for some particular cases.
Institutions: Institut Élie Cartan de Lorraine, Université de Lorraine
Language: English
Subfield: Mathematical Physics
Field: Mathematics
Domain: Physical Sciences
Open Access status: green
OpenAlex ID: W4291237784