Homogenisation of a multivariate diffusion with semipermeable reflecting interfaces

30.01.2023, 14:00  –  Campus Golm, Haus 9, Raum 2.22
Forschungsseminar Wahrscheinlichkeitstheorie

Olga Aryasova (Inst. of Geophysics, Nat. Acad. of Sciences of Ukraine / Friedrich–Schiller–Univ. Jena)

We study the homogenization problem for a multivariate stochastic differential equations with local times that determine semipermeable reflecting hyperplane interfaces. 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 local times terms give rise to an additional drift term.

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