One-dimensional heat equation with discontinuous
conductance
arXiv:1312.7396v1 [math.PR] 28 Dec 2013
Zhen-Qing Chen∗ and
Mounir Zili
August 5, 2021
Abstract
We study a second-order parabolic equation with divergence form elliptic operator, having
piecewise constant diffusion coefficients with two points of discontinuity. Such partial differential
equations appear in the modelization of diffusion phenomena in medium consisting of three kind
of materials. Using probabilistic methods, we present an explicit expression of the fundamental
solution under certain conditions. We also derive small-time asymptotic expansion of the PDE’s
solutions in the general case. The obtained results are directly usable in applications.
AMS 2000 Mathematics Subject Classification: Primary 60H10, 60J55; Secondary 35K10,
35K08
Keywords and phrases: Stochastic differential equations, semimartingale local time, strong
solution, heat kernel, asymptotic expansion
1
Introduction
In many practical applications, one is encountered with heat propagations in heterogeneous media
consisting of different kind of materials. Mathematically, such kind of heat propagation is modeled
by heat equations with divergence form elliptic operators having discontinuous diffusion coefficients.
In this paper we exam one-dimensional model where the medium consisting of three different kind
of materials.
Let a, ai , ρi , i = 1, 2, 3 be positive constants and define
A(x) = a1 1{x≤0} + a2 1{0<x≤a} + a3 1{a<x}
Set
1 d
L=
2ρ(x) dx
and
ρ(x) = ρ1 1{x≤0} + ρ2 1{0<x≤a} + ρ3 1{a<x} .
d
ρ(x)A(x)
dx
,
(1.1)
which is a self-adjoint operator in L2 (R; ρ(x)dx). The parabolic equation
∂u(t, x)
= Lu(t, x)
∂t
∗
Research partially supported by NSF Grant DMS-1206276 and NNSFC Grant 11128101.
1
(1.2)
describes the heat propagation in the line that consists of three different kind of material. It is wellknown that there is an m-symmetric diffusion process X associated with L, where m(dx) := ρ(x)dx.
Since both A(x) and ρ(x) are bounded between two positive constants, it is known (see [7]) that
X possesses a jointly continuous transition density function q(t, x, y) with respect to the measure
m(dx) on R that is symmetric in x and y and enjoys the following Aronson type Gaussian estimates:
there exists positive constants C1 , C2 ≥ 1 so that for every t > 0 and x, y ∈ R,
C1−1 t−1/2 exp(−C2 |x − y|2 /t) ≤ q(t, x, y) ≤ C1 t−1/2 exp(−|x − y|2 /(C2 t)).
(1.3)
Using Dirichlet form theory, the following semimartingale representation of X is derived in [10,
Proposition 5]:
p
ρ2 a2 − ρ1 a1 b 0 ρ3 a3 − ρ2 a2 b a
dXt = A(Xt )dBt +
dLt +
dLt ,
(1.4)
ρ 2 a2 + ρ 1 a1
ρ3 a3 + ρ2 a2
b 0 and L
b a are symmetric semimartingale local times
where B is one-dimensional Brownian motion, L
of X at 0 and a, respectively. Here for a semimartingale Y , its symmetric semimartingale local
b w (Y ) at w ∈ R is defined to be
time L
t
Z t
1
w
b
1[w−ε,w+ε](Ys ) dhY is ,
(1.5)
Lt (Y ) := lim
ε→0 2ε 0
where hY i is the predictable quadratic variation process of Y . We define the semimartingale local
time for Y at level w ∈ R to be
Z
1 t
Lw
(Y
)
=
lim
1[w,w+ε](Ys ) dhY is .
(1.6)
t
ε→0 ε 0
It is known (see [2]) that equation (1.4) admits a unique strong solution. Moreover, X is a strong
solution to (1.4) if and only if it is a strong solution to
p
1
ρ1 a1
ρ2 a2
1
0
dLt (X) +
dLat (X).
(1.7)
1−
1−
dXt = A(Xt )dBt +
2
ρ2 a2
2
ρ3 a3
The purpose of this paper is to study the parabolic equation (1.2) with initial value u(0, x) =
h(x) and solve it as explicitly as possible, where h is a piecewise C N +1 function on R of the form
h(x) = h1 (x)1{x≤0} + h2 (x)1{0<x≤a} + h3 (x)1{x>a} ,
(1.8)
with hi being bounded with continuously differentiable up to order N + 1, i = 1, 2, 3, for some
integer N ≥ 1. This kind of PDEs appears in the modelization of diffusion phenomena in many
areas, for example, in geophysics [9], ecology [4], biology [11] and so on. The non-smoothness of the
coefficients reflects the multilayered medium. The solution u(t, x) of (1.2) with initial value h(x)
admits a probabilistic representation:
u(t, x) = Ex [h(Xt )],
t ≥ 0.
(1.9)
Here the subscript x in Ex means the expectation is taken with respect to the law of the diffusion
process X that starts from x at time t = 0. In the first part of this paper, we show that, when
√
√
√
√
either ρ1 a1 = ρ2 a2 or ρ2 a2 = ρ3 a3 , we can reduce the diffusion process of (1.3) to skew
Brownian motion through transformations by scale functions. Thus in this case, we are able to
derive an explicit formula for the transition density function q(t, x, y) of the diffusion process X
with respect to the measure m(dx). The kernel q(t, x, y) is the fundamental solution (also called
2
heat kernel) q(t, x, y) of L. Skew Brownian motions are a subclass of diffusion processes X of (1.3)
with a1 = a2 = a3 = 1 and ρ2 = ρ3 . It is first introduced by Ito and McKean in 1963, and has since
been studied extensively by many authors; see, for example, [1, 2, 13, 15] and the references therein.
However we do not know the explicit formula for q(t, x, y) in the general case. In [6], formulas for
the fundamental solutions are derived in terms of inverse Fourier transform and Green functions,
but they are not explicit.
Though we do not have explicit formula for its heat kernel, in the second part of this paper, we
are able to derive asymptotic expansion in small time of solutions of (1.2) in the general case with
piecewise C N +1 initial data, by making use of the explicit heat kernel obtained under the special
case (a2 , ρ2 ) = (a3 , ρ3 ). The small-time asymptotic expansion we get in this paper is explicit
and can be directly used in applications. This extends the work of [17] and of [18], where only
one discontinuity is studied. In [5] and [10], numerical methods are proposed to study (1.4) with
discontinuous coefficients.
The rest of the paper is organized as follows. In the section 2, we derive explicit formula for
√
√
√
√
the fundamental solution of L in the case when either ρ1 a1 = ρ2 a2 or ρ2 a2 = ρ3 a3 .
We then study the small-time asymptotic expansion of the solution of (1.2) in the general case
for any positive constants a, ai and ρi . Extensions to the more general piecewise constant coefficient
case with more than two discontinuities are mentioned at the end of the paper.
2
Fundamental solution
In view of the probabilistic representation (1.9), properties of solution to the heat equation (1.9)
can be deduced from the properties of the diffusion process X of (1.7). For notational simplicity,
let’s rewrite SDE (1.7) as
(
dYtx = p1{Ytx ≤0} + q1{0<Ytx ≤a} + r1{a<Ytx } dBt + α2 dL0t (Y x ) + β2 dLat (Y x ),
(2.1)
Y0x = x ∈ R,
where p, q, r are positive constants, α, β ∈ (−∞, 1) and B a one-dimensional Brownian motion.
The superscript x indicates the process Y x starts from x at t = 0. In the particular case when
p = q = r = 1 and β = 0, Ytx is just a Skew Brownian motion of parameter (2 − α)−1 (cf. [15]),
and in the case when p = q = r = 1, Ytx is the double-skewed Brownian motion (cf. [12]).
The next two theorems are known; see [2, Theorems 2.1 and 2.2] or [8]. We give a proof here
not only for reader’s convenience but also some formulas in the proof will be used later to derive
the transition density function of Y .
Theorem 2.1 For every α < 1 and β < 1, SDE (2.1) has a unique strong solution for every x ∈ R.
Proof. Define
x/p
s(x) = x/q
(x − a)/r + a/q
for x < 0,
for x ∈ [0, a],
for x > a.
Clearly, s is strictly increasing and one-to-one. Let σ denote the inverse of s:
for x < 0,
px
σ(x) = qx
for x ∈ [0, s(a)],
r(x − s(a)) + s(a)q for x > s(a).
3
(2.2)
(2.3)
Let s′ℓ and σℓ′ denote the left hand derivative of s and σ, respectively; that is,
1/p
for
x
≤
0,
p for x ≤ 0,
′
′
sℓ (x) = 1/q for x ∈ (0, a], and σℓ (x) = q for x ∈ (0, s(a)],
r for x > s(a),
1/r for x > a,
The second derivative σ ′′ (dx) = (q − p)δ{0} (dx) + (r − q)δ{s(a)} (dx). Here δ{z} denotes the Dirac
measure concentrated at point z.
Since both q(α−1)
+ 1 and r(β−1)
+ 1 are strictly less than 1, by Theorem 2.1 of [2], the following
p
q
SDE has a unique strong solution Z = {Zt , t ≥ 0} with Z0 = s(x):
1 q(α − 1)
1 r(β − 1)
s(a)
0
dZt = dBt +
(2.4)
+ 1 dLt (Z) +
+ 1 dLt (Z).
2
p
2
q
Let Y = σ(Z). We will show that Y is a solution to (2.1). Clearly Y0 = x. Function σ
is a piecewise linear function and can be expressed as a difference of two convex functions. By
Ito-Tanaka’s formula (see [13, Theorem VI.1.5]), Y is a semimartingale and in fact, for t ≥ 0,
Z
Z t
1
′′
Lw
σℓ′ (Zs )dZs +
Yt = σ(Z0 ) +
t (Z)σ (dw)
2
0
Z t
p1{Yt ≤0} + q1{0<Yt ≤a} + r1{Yt >a} dBt
= x+
0
β r s(a)
αq 0
Lt (Z) +
L (Z).
+
2
2 t
By Corollary VI.1.9 of Revuz and Yor [13], for t ≥ 0,
Z
Z
1 t
1 t
s(a)
Lt (Z) = lim
1[s(a),s(a)+ε) (Zs )dhZis = lim
1[a,a+rε) (Ys )ds
ε↓0 ε 0
ε↓0 ε 0
Z
1 t
1
lim
=
1
(Ys )dhY is = Lat (Y )/r.
r ε↓0 rε 0 [a,a+rε)
(2.5)
(2.6)
A similar calculation shows that L0t (Z) = L0t (Y )/q. Thus we have from (2.5) that Y = σ(Z) is a
strong solution for (2.1) with Y0 = x.
We now examine pathwise uniqueness. Suppose that Y x is a solution of (2.1). Since s is the
difference of two convex functions, we can apply Ito-Tanaka’s formula to get
Z
Z t
1
x ′′
x
x
′
x
Lw
(2.7)
sℓ (Ys )dYs +
s(Yt ) = s(x) +
t (Y )s (dw).
2
R
0
Let Z = s(Y x ). A similar calculation as above shows that Z satisfies SDE (2.4) with initial value
Z0 = s(x). Since by Theorem 2.1 of [2] solutions to (2.4) is unique, hence so is solution Y x to (2.1).
Theorem 2.2 The process Y x is a strong solution of the SDE (2.1), if and only if Y x is a strong
solution to
α
b 0t (Y x ) + β dL
b a (Y x )
dYtx = p1{Ytx ≤0} + q1{0<Ytx ≤a} + r1{a<Ytx } dBt +
dL
(2.8)
2−α
2−β t
with Y0x = x.
4
Proof. This is due to the fact that, for solution Y x of (2.1) (see the proof of Theorem 2.2 in [2]),
L0t (Y x ) =
2 b0 x
L (Y ),
2−α t
Lat (Y x ) =
x
bw x
/ {0, a}.
and Lw
t (Y ) = L (Y ) for w ∈
2 ba x
L (Y ),
2−β t
(2.9)
Corollary 2.3 For every p, q > 0, α < 1 and x ∈ R, the following SDE has a unique strong solution
for every x ∈ R:
(
dXtx = p1{Xtx ≤0} + q1{0<Xtx } dBt + α2 dL0t (X x ),
(2.10)
X0x = x ∈ R.
Moreover, the transition probability density of the diffusion X x is given by
1{y≤0} 1{y>0}
(f (x) − f (y))2
1
X
+
× exp −
p (t, x, y) = √
p
q
2t
2πt
p + q(α − 1)
(| f (x) | + | f (y) |)2
+
sign(y) exp −
p − q(α − 1)
2t
(2.11)
where f (y) = yp 1{y≤0} + yq 1{y>0} .
Proof. Taking q = r and β = 0, we have by Theorem 2.1 that for every p, q > 0, α < 1 and x ∈ R,
α
(2.12)
dXtx = p1{Xtx ≤0} + q1{0<Xtx } dBt + dL0t (X x ),
2
has a unique strong solution with X0x = x. Let s be the function defined by (2.2). We see from
(2.4) that Z := s(X x ) satisfies SDE (2.4) with q = r and β = 0; that is,
1 q(α − 1)
+ 1 dL0t (Z).
(2.13)
dZt = dBt +
2
p
Thus Z is a skew Brownian, whose transition density function is explicitly known. Using Theorem
b 0 (Z):
2.2, we can rewrite Z in terms of its symmetric semimartingale local time L
dZt = dBt +
p + q(α − 1) b 0
dL (Z).
p − q(α − 1) t
(2.14)
Thus by [15] (see also Exercise III.(1.16) on page 82 of [13]), Z has a transition density function
pZ (t, x, y) with respect to the Lebesgue measure on R given by
1
(|x| + |y|)2
p + q(α − 1)
(x − y)2
Z
p (t, x, y) = √
sign(y) exp −
+
.
exp −
2t
p − q(α − 1)
2t
2πt
The desired formula (2.11) now follows from the fact that
pX (t, x, y) =
1
pZ (t, s(x), s(y))
σl′ (s(y))
5
Remark 2.4 (i) When α = 1−(p2 /q 2 ), Corollary 2.3 in particular recovers the formula given in [1,
Theorem 5.1] (see the proof of Proposition 5.1 of [1] for a more explicit one) for the transition
density function of X x in (2.10). Note that in this case, the more compact formula (2.11)
in this paper is equivalent to the form given in [1]. Using the connection to skew Brownian
motion established in the proof of Corollary 2.3, one can derive the joint distribution of
X x given by (2.8), its semimartingale (respectively, symmetric semimartingale) local time
b 0 (X x )) at level 0 and its occupation time on [0, ∞) from that of the
L0 (X x ) (respectively, L
corresponding skew Brownian motion. The latter can be found in [1, Theorem 1.2]. Same
remark applies to the diffusion process Y x satisfying SDE (2.16) below.
(ii) The diffusion process X of (2.10) can be called oscillating skew Brownian motion, or skewed
oscillating Brownian motion as suggested by Wellner [16]. When α = 1−(p2 /q 2 ), the marginal
distribution of X x of (2.10) (characterized by its transition density function pX (t, x, y)) is the
Fechner distribution in statistics; see [16]. This corresponds exactly to the case when the
density function pX (t, 0, y) is continuous in y. For generator L in (1.1) or its associated SDE
(1.7), the condition α = 1 − (p2 /q 2 ) corresponds precisely to the case of ρ2 = ρ3 .
The next theorem allows us to obtain the transition density function for solution Y of (2.1)
when β = 1 − rq .
Theorem 2.5 Let p, q, r, a > 0 and α < 1. For x ∈ R, let X x denote the unique strong solution of
(2.10) with initial value X0x = x. The process Y defined by:
if Y0 = x ≤ a
a + qr (Xtx − a)+ − (Xtx − a)−
Yt =
(2.15)
q
q
a + r (X r (x−a)+a − a)+ − (X r (x−a)+a − a)− if Y0 = x > a.
t
t
q
is the unique strong solution of the stochastic differential equation:
q a x
1
α
1−
dLt (Y )
dYtx = p1{Ytx ≤0} + q1{0<Ytx ≤a} + r1{a<Ytx } dBt + dL0t (Y x ) +
2
2
r
(2.16)
with initial value Y0x = x.
Proof. We will present the proof just in the case where x ≤ a. The other case is similar. Consider
the bijective function defined by:
ϕ(x) = a + (r/q)(x − a)+ − (x − a)−
for x ∈ R.
Then Y = ϕ(X x ). Note that ϕ(x) = x for x ≤ a, and ϕ(x) > a if and only if x > a. Since ϕ is the
difference of two convex functions, applying the Ito-Tanaka formula to Y = ϕ(X x ), we obtain:
Z t
Z
1
x ′′
ϕ′ℓ (Xsx )dXsx +
Yt = Y0 +
Lw
t (X )ϕ (dx)
2
0
R
Z t
1 r
r
x
− 1 Lat (X x )
1{Xsx ≤a} + 1{Xsx >a} dXs +
= x+
q
2
q
0
Z t
p1{Xsx ≤0} + q1{0<Xsx ≤a} + r1{Xsx >a} dBt
= x+
0
6
α 0 x
1 r
+ dLt (X ) +
− 1 Lat (X x )
2
2 q
Z t
p1{Ysx ≤0} + q1{0<Ysx ≤a} + r1{Ysx >a} dBt
= x+
0
α 0 x
1 r
+ dLt (X ) +
− 1 Lat (X x ).
2
2 q
(2.17)
By the same reasoning as that for (2.6), we have
q
L0t (X x ) = L0t (Y ) and Lat (X x ) = Lat (Y ).
r
(2.18)
This together with (2.17) shows that Y is a strong solution to SDE (2.16) with Y0 = x. The
uniqueness follows from Theorem 2.1.
Corollary 2.6 When β = 1 − qr , the solution Y to SDE (2.1) has a transition probability density
pY (t, x, y) with respect to the Lebesgue measure on R given by
! (
!
2
1
1
1
1
(s(x)
−
s(y))
{0<y≤a}
{y>a}
{y≤0}
+
+
pYt (x, y) = √
× exp −
p
q
r
2t
2πt
(2.19)
!)
(| s(x) | + | s(y) |)2
p + q(α − 1)
sign(y) exp −
+
p − q(α − 1)
2t
Proof. This follows immediately from Theorem 2.5 and Corollary 2.3.
√
√
Remark 2.7 SDE (2.1) with β = 1 − qr corresponds exactly to SDE (1.7) with ρ2 a2 = ρ3 a3 .
If we use q(t, x, y) to denote the transition density function of Y with respect to its symmetrizing
measure m(dx) = ρ(x)dx, then clearly we have
q(t, x, y) = pY (t, x, y)/ρ(y).
3
Small-time asymptotic expansion
In this section, we will give an explicit asymptotic expansion, in small time, of the function u(x, t) =
E(h(Ytx )), in the general case where p, q, r > 0 and α, β ∈ (−∞, 1).
Definition 3.1 For every k ∈ N, we denote by erfck the function defined on R by:
Z +∞
2
2
uk e−u du,
z ∈ R.
erfck (z) = √
π z
Observe that erfck (0) = √1π Γ k+1
, where Γ is the Euler Gamma function. The following
2
elementary properties are straightforward from its definition.
Lemma 3.2 For every given integer n ≥ 1,
7
(i) As z → +∞, erfck (z) = o(z −n ).
(ii) As z → −∞: erfck (z) = √1π 1 + (−1)k Γ k+1
+ o(|z|−n ).
2
o(|z|−n )
=0
z→+∞ |z|−n
Here the notation o(|z|−n ) as z → +∞ (respectively, z → −∞) means that lim
o(|z|−n )
= 0). Similar notation will also be used for o(tn ) as t → 0. Note that
z→−∞ |z|−n
by Corollary 2.3, SDE
(
dStx = q1{Stx ≤a} + r1{a<Stx } dBt + β2 dLat (S x )
(3.1)
S0x = x ∈ R
(respectively, lim
has a unique strong solution for every x ∈ R and it has a transition probability density with respect
to the Lebesgue measure on R given by
! (
!
1{y≤a}
1{y>a}
1
(g(x) − g(y))2
p(t, x, y) = √
× exp −
+
q
r
2t
2πt
(3.2)
!)
q + r(β − 1)
(|g(x)| + |g(y)|)2
,
+
sign(y − a) exp −
q − r(β − 1)
2t
where g(x) = xq 1{x≤a} + xr 1{x>a} .
The following estimation is a key in small-time asymptotic expansion for the solution of heat
equation (1.2). It reduces the case to diffusions of the form (2.10) for which we have explicit
knowledge about their heat kernels.
Lemma 3.3 Define
x
X , solution of sde (2.10)
a
2
Ξx =
a
S x , solution of sde (3.1)
if x > .
2
Then there exist positive constants c1 and c2 such that for every t > 0,
P Ξs 6= Ysx for some s ∈ [0, t] ≤ c1 exp − c2 a2 /t ,
if x ≤
(3.3)
where Y x is the diffusion process of (2.1).
a
Proof. We will prove the lemma in the case where x ≤ . The other case is similar. For t > 0, let
2
us denote by
τt = inf{t ≥ 0; Ξs = a} = inf{t ≥ 0; Xsx = a},
and
n
o n
o
At = ω ∈ Ω : Ξs (ω) 6= Ysx (ω) for some s ∈ [0, t] = ω ∈ Ω : Xsx (ω) 6= Ysx (ω) for some s ∈ [0, t] .
(3.4)
8
It is clear that, At ⊂ {τt ≤ t} and consequently,
x
x
P(At ) ≤ P(τt ≤ t) ≤ Px sup |Xs − x| ≥ |a − x| ≤ Px sup |Xs − x| ≥ a/2 .
0≤s≤t
0≤s≤t
Here Px is the probability law of X x . Since X is a diffusion whose transition density function
q(t, x, y) with respect to the measure m(dx) = ρ(x)dx enjoys the Aronson type Gaussian estimate
(1.3), we have by a similar argument as that for [14, Lemma II.1.2] that
2
Px sup |Xsx − x| ≥ a/2 ≤ c1 e−c2 a /t .
0≤s≤t
This proves the lemma.
Corollary 3.4 Let Ξx be defined by (3.3). Then for every integer n ≥ 1 and time t > 0 small,
i
h
i
h
E h(Ytx ) = E h(Ξxt ) + o(tn ).
a
; the other case is similar. For all t ≥ 0,
2
i
i
h
h
i
h
E h(Ytx ) = E h(Ytx ); At + E h(Ytx ); Act ,
Proof. Let us consider the case where x ≤
where At is the set defined in (3.4), and Ac is the complementary of A. Since Xsx (w) = Ysx (w) for
all s ∈ [0, t] on Act , we have
i
i
h
h
i
h
E h(Ytx ) = E h(Xtx ); Act + E h(Ytx ); At
i
h
i
h
= E h(Xtx ) + E h(Ytx ) − h(Xtx ); At .
The desired result now follows from Cauchy-Schwarz inequality, the fact that h is bounded and
Lemma 3.3.
Let h be a piecewise C N +1 function of the form (1.8). By Taylor expansion, for every x ∈
R \ {0, a},
N
X
h(j) (x)
(y − x)j + O(|y − x|N +1 ),
h(y) =
j!
j=1
and for x ∈ {0, a} and i = 1, 2, 3,
hi (y) =
N
(j)
X
h (x)
i
j=1
j!
(y − x)j + O(|y − x|N +1 ).
Here the notation O(|y − x|N +1 ) means that there are constants C, δ > 0 so that the term O(|y −
x|N +1 ) is no larger than C|y − x|N +1 for any y ∈ R with |y − x| < δ. Thus we have the following.
9
Proposition 3.5 If x ∈ R \ {0, a},
E [h(Ξxt )] =
N
i
h
X
1 (j)
h (x)E (Ξxt − x)j + O |Ξxt − x|N +1 ,
j!
(3.5)
j=0
and if x ∈ {0, a},
E[h(Ξxt )] =
N
N
i X
i
h
h
X
1 (j)
1 (j)
h1 (x)E (Ξxt − x)j 1{Ξxt ≤0} +
h2 (x)E (Ξxt − x)j 1{0<Ξxt ≤a}
j!
j!
j=0
+
j=0
N
i
h
X
1 (j)
h3 (x)E (Ξxt − x)j 1{Ξxt >a} + O |Ξxt − x|N +1 .
j!
(3.6)
j=0
Using the transition probability densities of the diffusions X x and S x given in corollary 2.3 and
in (3.2), we can compute the expectations in (3.5)-(3.6).
Proposition 3.6 Let k ≥ 1 be an integer.
(i) For x < 0,
k
i
x X
h
−x
k j/2−1 j/2
k
k k k/2−1 k/2
x
t erfck √
E (Ξt − x) = (−1) p 2
2
t Aj (x) erfcj √
+
,
j
p 2t
p 2t
j=0
where
q
xk−j
(p+q(α−1))pj (−1)k+1 2k−j +2pq j ( −1)k−j
Aj (x) =
p − q(α − 1)
p
and
k
k!
.
=
j
j!(k − j)!
(ii) For 0 < x < a,
E
h
(Ξxt
− x)
k
i
k/2−1 k k/2
=2
q t
k
x
−x X
k j/2−1 j/2
,
2
t Bj (x) erfcj √
+
erfck √
j
q 2t
q 2t
j=0
where
Bj (x) =
p
k−j
xk−j
− 2q(α − 1)(−p)j
−1
+ (p + q(α − 1))q j (−2)k−j .
p − q(α − 1)
q
(iii) For x > a,
k
h
i
a − x X
x − a
k j/2−1 j/2
k
x
k/2−1 k k/2
E (Ξt − x) = 2
r t erfck √
2
t Cj (x) erfcj √
+
,
j
r 2t
r 2t
j=0
where
Cj (x) =
q
k−j
(x − a)k−j
− 2r(β − 1)(−1)j q j
−1
+ (q + r(β − 1)) r j 2k−j (−1)k−j .
q − r(β − 1)
r
As
of the above Proposition, and by Lemma 3.2, we obtain the following expansion
i
h a consequence
k
x
of E (Ξt − x) for x ∈ R \ {0, a} and small time t > 0.
10
Corollary 3.7 For any positive integers n > k ≥ 1, x ∈ R \ {0, a}, as t → 0+ ,
i
h
E (Ξxt − x)k = 2k/2−1 Dk (x)tk/2 + o(tn ),
where
1
Dk (x) = √ (1 + (−1)k )Γ
π
k+1
2
h
i
pk 1{x<0} + q k 1{0<x<a} + r k 1{x>a} .
(3.7)
Using again the transition probability densities of the diffusions X x and S x , we get
Proposition 3.8 For x ∈ {0, a} and integer k ≥ 1,
q(1 − α)
(2t)k/2 k + 1
when x = 0
(−1)k pk √ Γ
i
h
p − q(α − 1)
2
π
E (Ξxt − x)k 1{Ξxt ≤0} =
r(1 − β)
a
when x = a,
(−1)k q k (2t)k/2 erfck √
q − r(β − 1)
q 2t
i
a
h
1 k + 1
k
k
k/2
x
√ Γ
− erfck √
E (Ξt − x) 1{0<Ξxt ≤a} = Ak (x) q (2t)
,
2
π
q 2t
a
p
k k/2 k/2
√
when x = 0
q
2
t
erfc
k
p − q(α − 1)
i
h
q 2t
k
x
E (Ξt − x) 1{Ξxt >a} =
q
2k/2 tk/2 k + 1
when x = a.
rk √
Γ
q − r(β − 1)
π
2
Here
Ak (x) =
p
p − q(α − 1)
r(1 − β)(−1)k
q − r(β − 1)
when x = 0
(3.8)
when x = a.
From Proposition 3.8 and Lemma 3.2 we deduce:
Corollary 3.9 For x ∈ {0, a} and integers n > k ≥ 1,
k/2 k/2
q(1 − α) (−1)k pk 2 √t Γ k + 1
i
h
k
x
E (Ξt − x) 1{Ξxt ≤0} =
p − q(α − 1)
2
π
o(tn )
i
h
1 k + 1
E (Ξxt − x)k 10<Ξxt ≤a = Ak (x)q k (2t)k/2 √ Γ
+ o(tn ),
2
π
when
o(tn )
i
h
k
x
k/2
k/2
E (Ξt − x) 1Ξxt >a =
q
2 t
k+1
when
rk √
Γ
q − r(β − 1)
2
π
where Ak (x) is defined in (3.8).
Combining Proposition 3.5 with Corollaries 3.7 and 3.9, we have
Theorem 3.10 For small time and x ∈ R,
E [h(Ξxt )]
=
N
X
bk (x)tk/2 + O(t(N +1)/2 ),
k=0
11
when x = 0
when x = a;
x=0
x = a,
where
1 ∂ k h(x)
k/2−1
2
D
(x)
k
k! ∂xk
k
∂ h1 (0)
k+1
∂ k h2 (0) k
2k/2
k k
√ Γ(
)
q(1 − α)(−1) p +
pq
bk (x) =
k!(p − q(α − 1)) π
2 ∂xk
∂xk
∂ k h2 (a)
∂ i h3 (a) k
2k/2
k+1
k k
√ Γ(
)
r(1 − β)(−1) q +
qr
2
∂xk
∂xk
k!(q − r(β − 1)) π
when x ∈ R \ {0, a}
when x = 0
when x = a
(3.9)
with the function Dk (x) given by (3.7).
By Theorem 3.10 and Corollary 3.4 we get:
Corollary 3.11 For every x ∈ R, when t > 0 is small,
E[h(Ytx )]
=
N
X
bk (x)tk/2 + O(t(N +1)/2 ),
k=0
where the function bk (x) is defined by (3.9).
Remark 3.12 (i) When a = 0 and r = q, we recover the expansion obtained in [17].
(ii) Employing the same approach used in this section, one can obtain without any difficulty a
similar small-time expansion for the solution of the heat equation (1.2) where A(x) and ρ(x) are
piecewise constant with n ≥ 3 points of discontinuity; that is, in case of the following SDE:
n
q
X
αi ai x
dY x = A(Y x )dBt +
dLt (Y ),
t
t
2
i=1
Y0 = x ∈ R,
where a1 = 0 < a2 < ... < an , pi ∈ (0, +∞), αi ∈ (−∞, 1) for i = 1, 2, ..., n and
A(Ytx ) = p0 1{Ytx ≤a1 } +
n−1
X
i=1
pi 1{ai <Ytx ≤ai+1 } + pN 1{an <Ytx } .
See [2] for the existence and uniqueness of strong solution of this SDE.
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Zhen-Qing Chen
Department of Mathematics, University of Washington, Seattle, WA 98195, USA
E-mail: zqchen@uw.edu
Mounir Zili
Department of Mathematics, Faculty of sciences of Monastir, Tunisia
E-mail: Mounir.Zili@fsm.rnu.tn
13