Diffusion in media with membranes and some nonlocal parabolic problems

  • Bohdan Kopytko Department of Mathematics, Faculty of Mechanical Engineering and Computer Science, Czestochowa University of Technology, Poland
  • Mykhailo Osypchuk Department of Mathematical and Functional Analysis, Faculty of Mathematics and Computer Science, Vasyl Stefanyk Precarpathian National University, Ivano-Frankivsk, Ukraine
  • Roman Shevchuk Department of Mathematics, Institute of Applied Mathematics and Fundamental Sciences, Lviv Polytechnic National University, Ukraine
Keywords: parabolic potential, Wentzell boundary condition, Feller semigroup, method of successive approximations

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.

References

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).

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).

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

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).

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

L. I. Kamynin, The existence of a solution of boundary-value problems for a parabolic equation with discontinuous coefficients(in Russian), Izv. Akad. Nauk SSSR, Ser. Mat., 28, 721–744 (1964).

L. I. Kamynin, A boundary value problem in the theory of heat conduction with a nonclassical boundary condition, Comput. Math. and Math. Phys., 4, № 6, 33–59 (1964); DOI: 10.1016/0041-5553(64)90080-1.

B. I. Kopytko, R. V. Shevchuk, One-dimensional diffusion processes with moving membrane: partial reflection in combination with jump-like exit of process from membrane, Electron. J. Probab., 25, № 41, 1–21 (2020); DOI: 10.1214/20-EJP443.

M. I. Portenko, Generalized diffusion processes, Amer. Math. Soc., Providence, RI (1990).

B. I. Kopytko, R. V. Shevchuk, On pasting together two inhomogeneous diffusion processes on a line with the general Feller–Wentzell conjugation condition, Theory Stoch. Process., 17, № 2, 55–70 (2011).

B. I. Kopytko, R. V. Shevchuk, Diffusions in one-dimensional bounded domains with reflection, absorption and jumps at the boundary and at some interior point, J. Appl. Math. and Comput. Mech., 12, № 1, 55–68 (2013); DOI: 10.17512/jamcm.2013.1.06.

B. I. Kopytko, R. V. Shevchuk, One-dimensional diffusions in bounded domains with a possible jump-like exit from a sticky boundary, J. Appl. Math. and Comput. Mech., 13, № 3, 101–114 (2014); DOI: 10.17512/jamcm.2014.3.11.

B. I. Kopytko, R. V. Shevchuk, The nonlocal conjugation problem for one-dimensional parabolic equation with discontinuous coefficients and associated Feller semigroup, Theory Stoch. Process., 24, № 2, 17–31 (2019).

B. I. Kopytko, Z. Y. Tsapovs'ka, A multidimensional model of the diffusion process with membrane whose properties are described by a general Wentzel boundary condition, Theory Stoch. Process., 12, № 1-2, 77–86 (2006).

O. Petruk, B. Kopytko, Time-dependent shock acceleration of particles. Effect of the time-dependent injection, with application to supernova remnants, Monthly Notices Roy. Astron. Soc., 462, № 3, 3104–3114 (2016); DOI: 10.1093/mnras/stw1851.

A. D. Wentzell, On boundary conditions for multi-dimensional diffusion processes, Theory Probab. and Appl., 4, № 2, 164–177 (1959); DOI: 10.1137/1104014.

A. V. Skorokhod, Stochastic equations for diffusion processes in a bounded region, part II, Theory Probab. and Appl., 7, № 1, 3–23 (1962); DOI: 10.1137/1107002.

G. L. Kulinic, On the limit behavior of the distribution of the solution of a stochastic diffusion equation, Theory Probab. and Appl., 12, № 3, 497–499 (1967); DOI: 10.1137/1112060.

J. B. Walsh, A diffusion with a discontinuous local time, Astérisque, № 52-53, 37–45 (1978).

J. M. Harrison, L. A. Shepp, On skew Brownian motion, Ann. Probab., 9, № 2, 309–311 (1981); DOI: 10.1214/aop/1176994472.

S. V. Anulova, Diffusion processes: discontinuous coefficients, degenerate diffusion, randomized drift, Sov. Math. Dokl., 24, 356–359 (1981).

N. Ikeda, S. Watanabe, Stochastic differential equations and diffusion processes, Kodansha Ltd, Tokyo (1981).

K. Taira, Boundary value problems and Markov processes, Springer, Berlin (2009); DOI: 10.1007/978-3-642-01677-6.

A. L. Skubachevskii, Nonlocal elliptic problems and multidimensional diffusion processes, Russ. J. Math. Phys., 3, № 3, 327–360 (1995).

L. L. Zaitseva, On a multidimensional Brownian motion with partly reflecting membrane on a hyperplane, Theory Stoch. Process., 5, № 3-4, 258–262 (1999).

A. Y. Pilipenko, On the Skorokhod mapping for equations with reflection and possible jump-like exit from a boundary, Ukr. Math. J., 63, 1415–1432 (2012); DOI: 10.1007/s11253-012-0588-2.

A. Lejay, The snapping out Brownian motion, Ann. Appl. Probab., 26, № 3, 1727–1742 (2016); DOI: 10.1214/15-AAP1131.

J. F. Le Gall, One-dimensional stochastic differential equations involving the local times of the unknown process, Stochastic Analysis and Applications, Springer, Berlin (1984), p. 51–82; DOI: 10.1007/BFb0099122.

H. J. Engelbert, W. Schmidt, On one-dimensional stochastic differential equations with generalized drift, Stochastic Differential Systems Filtering and Control, Springer, Berlin (1985), p. 143–155; DOI: 10.1007/BFb0005069.

M. Barlow, K. Burdzy, H. Kaspi, A. Mandelbaum, Variably skewed Brownian motion, Electron. Commun. Probab., 5, 57–66 (2000); DOI: 10.1214/ECP.v5-1018.

A. M. Kulik, On the solution of a one-dimensional stochastic differential equation with singular drift coefficient, Ukr. Math. J., 56, 774–789 (2004); DOI: 10.1007/PL00022186.

M. M. Osypchuk, M. I. Portenko, On constructing some membranes for a symmetric $alpha$-stable process, Commun. Stoch. Anal., 11, № 1, 11–20 (2017).

A. Iksanov, A. Pilipenko, On a skew stable Lévy process}; arXiv:2112.13033 [math.PR]; DOI: 10.48550/arXiv.2112.13033.

W. Pogorzelski, Równania całkowe i ich zastosowania, (in Polish), tom IV, Państwowe Wydawnictwo Naukowe, Warszawa (1970).

A. M. Il'in, A. S. Kalashnikov, O. A. Oleinik, Linear equations of the second order of parabolic type, Russ. Math. Surveys, 17, № 3, 1–143 (1962); DOI: 10.1070/RM1962v017n03ABEH004115.

A. Friedman, Partial differential equations of parabolic type, Prentice-Hall, Englewood Cliffs, NJ (1964).

O. A. Ladyzhenskaja, V. A. Solonnikov, N. N. Ural'ceva, Linear and quasilinear equations of parabolic type, (in Russian), Nauka, Moscow (1967).

E. B. Dynkin, Markov processes, (in Russian), Gos. Izd. Fiz.-Mat. Lit., Moscow (1963).

E. A. Baderko, Solution of a problem with an oblique derivative for a parabolic equation by the method of boundary integral equations, Different. Equat., 25, № 1, 9–14 (1989).

E. A. Baderko, Boundary value problems for a parabolic equation, and boundary integral equations, Different. Equat., 28, № 1, 15–20 (1992).

L. I. Kamynin, B. N. Khimchenko, On applications of the maximum principle to second-order parabolic equations, (in Russian), Dokl. Akad. Nauk SSSR, 204, № 3, 529–532 (1972).

Published
30.11.2023
How to Cite
Kopytko, B., M. Osypchuk, and R. Shevchuk. “Diffusion in Media With Membranes and Some Nonlocal Parabolic Problems”. Ukrains’kyi Matematychnyi Zhurnal, Vol. 75, no. 11, Nov. 2023, pp. 1450 -72, doi:10.3842/umzh.v75i11.7379.
Section
Research articles