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Pré-Publication, Document De Travail Année : 2015

One-dimensional skew diffusions: explicit expressions of densities and resolvent kernel

Résumé

The study of skew diffusion is of primary concern for their implication in the modeling 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 one of 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. Explicit closed-form are given for some particular cases.
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Dates et versions

hal-01194187 , version 1 (07-09-2015)
hal-01194187 , version 2 (18-12-2015)

Identifiants

  • HAL Id : hal-01194187 , version 1

Citer

Antoine Lejay, Lionel Lenôtre, Géraldine Pichot. One-dimensional skew diffusions: explicit expressions of densities and resolvent kernel. 2015. ⟨hal-01194187v1⟩

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