Effective conductivity and skew Brownian motion.

DOI10.1007/BF02178356zbMath1081.82603MaRDI QIDQ1593259

Reinhard Lang

Publication date: 16 January 2001

Published in: Journal of Statistical Physics (Search for Journal in Brave)

zbMATH Keywords

Green-Kubo formulaDirichlet formsskew Brownian motioneffective conductivityreversible diffusionsdiscontinuous random media

Mathematics Subject Classification ID

Related Items (11)

On first hitting times for skew CIR processes ⋮ EFFICIENT PIECEWISE TREES FOR THE GENERALIZED SKEW VASICEK MODEL WITH DISCONTINUOUS DRIFT ⋮ On some properties of reflected skew Brownian motions and applications to dispersion in heterogeneous media ⋮ Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis ⋮ Some properties of doubly skewed CIR processes ⋮ A simple trinomial lattice approach for the skew-extended CIR models ⋮ Finite difference scheme versus piecewise binomial lattice for interest rates under the skew CEV model ⋮ Two Brownian particles with rank-based characteristics and skew-elastic collisions ⋮ On the transition density and first hitting time distributions of the doubly skewed CIR process ⋮ Skew Brownian diffusions across Koch interfaces ⋮ Multi-skewed Brownian motion and diffusion in layered media

Cites Work

• An invariance principle for reversible Markov processes. Applications to random motions in random environments
• Some potential theory for reflecting Brownian motion in Hölder and Lipschitz domains
• An invariance principle for non-symmetric Markov processes and reflecting diffusions in random domains
• Brownian motions on a half line
• The Semimartingale Structure of Reflecting Brownian Motion
• On Excursions of Reflecting Brownian Motion
• Energy and the law of the interated logarithm.
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