Diffusion in media with membranes and some nonlocal parabolic problems

Author:

Kopytko Bohdan,Osypchuk Mykhailo,Shevchuk Roman

Abstract

UDC 519.21 We establish the classical solvability of a certain conjugation problem for one-dimensional (with respect to a spatial variable) Kolmogorov backward equation with discontinuous coefficients and some variants of the general nonlocal Feller–Wentzell boundary condition given on nonsmooth boundaries of considered curvilinear domains. In addition, we prove, that the two-parameter Feller semigroup defined by the solution of this problem describes some inhomogeneous diffusion process with moving membranes on the given region of the real line.  We also show the relationship between the constructed process and the generalized diffusion in the sense of M. I. Portenko.

Publisher

SIGMA (Symmetry, Integrability and Geometry: Methods and Application)

Reference41 articles.

1. M. I. Portenko, Diffusion processes in media with membranes, (in Ukrainian), Proceedings of the Institute of Mathematics of the National Academy of Sciences of Ukraine (1995).

2. B. I. Kopytko, M. I. Portenko, The problem of pasting together two diffusion processes and classical potentials, Theory Stoch. Proc., 15, № 2, 126–139 (2009).

3. W. Feller, The parabolic differential equations and the associated semi-groups of transformations, Ann. Math., 55, 468–519 (1952); DOI: 10.2307/1969644.

4. A. D. Wentzell, Semigroups of operators that correspond to a generalized differential operator of second order(in Russian), Dokl. Akad. Nauk SSSR, 111, № 2, 269–272 (1956).

5. H. Langer, W. Schenk, Knotting of one-dimensional Feller processes, Math. Nachr., 113, 151–161 (1983); DOI: 10.1002/mana.19831130115.

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