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JOURNALS // Theory of Stochastic Processes // Archive

Theory Stoch. Process., 2018 Volume 23(39), Issue 1, Pages 66–72 (Mi thsp263)

On constructing a sticky membrane located on a given surface for a symmetric $\alpha$-stable process

M. M. Osypchuka, M. I. Portenkob

a Vasyl Stefanyk Precarpathian National University
b Institute of Mathematics of Ukrainian National Academy of Sciences

Abstract: For a symmetric $\alpha$-stable stochastic process with $\alpha\in(1,2)$ in a Euclidean space, a membrane located on a fixed bounded closed surface $S$ is constructed in such a way that the points of the surface possess the property of delaying the process with some given positive coefficient $(p(x))_{x\in S}$. In other words, the points of $S$ are sticky for the process constructed. We show that this process is associated with some initial-boundary value problem for pseudo-differential equations related to a symmetric $\alpha$-stable process.

Keywords: Stable process, Membranes, Feynman-Kac formula, Random change of time, Initial-boundary value problem, Pseudo-differential equation.

MSC: Primary 60G52; Secondary 35S11

Language: English



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