NON HOMOGENEOUS STOCHASTIC DIFFUSION ON A JUNCTION

Abstract : The purpose of this article is to give another proof on the existence of a diffusion on a junction, which has been already done by M.Freidlin and S-J.Sheu, in Diffusion processes on graphs, (2000). We generalize the result to time dependent and borel coefficients. Such a process can be seen as a couple (x, i) with x a one dimensional continuous diffusion whose coefficients depends on the edge i where it is located. We then provide an Itô's formula for this process. Finally, we give an estimate of the local time of the process at the junction point.
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https://hal.archives-ouvertes.fr/hal-02120421
Contributor : Isaac Wahbi <>
Submitted on : Sunday, May 5, 2019 - 11:06:17 PM
Last modification on : Wednesday, May 8, 2019 - 1:43:28 AM

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  • HAL Id : hal-02120421, version 1
  • ARXIV : 1905.02501

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Isaac Wahbi. NON HOMOGENEOUS STOCHASTIC DIFFUSION ON A JUNCTION. Stochastic Processes and their Applications, Elsevier, In press. ⟨hal-02120421⟩

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