Discrete approximations to reflected Brownian motion (Q2482284)

Reflected Brownian motion (RBM) in \(D\in R^n,\;n\geq 1,\) considered here is a continuous Markov process \(Y\) taking values in \(\bar{D}\) that behaves like a Brownian motion (BM) in \(R^n\) when \(Y_t\in D\) and is instantaneously pushed back along the inward normal direction when \(Y_t\in \partial D.\) The authors of this paper are interested to construct RBM in a domain with the so-called nonsmooth boudaries \(\partial D\) and for that consider processes approximating RBM in \(D\) that are defined on the same state space \(D,\) or a discrete subspace of \(D.\) They investigate three discrete or semi-discrete approximation schemes for RBM which give not only new ways of constructing RBM but also implementable algorithms to simulate it. The first two approximations involve random walks on \(D_k\) which is the connected component of \(D\cap 2^{-k}\mathbb{Z}^n\) for bounded domain \(D\in R^n,\;0\in D,\) whose boundary \(\partial D\) has zero Lebesgue measure. Let \(X^k\) and \(Y^k\) be the discrete and continuous time simple random walks on \(D_k\) moving at the rate \(2^{-2k}\) with stationary initial distribution \(m_k,\) respectively, where \(m_k(x)=\frac{v_k(x)}{2n}2^{-kn},\;v_k(x)-\)is the degree of a vertex \(x\in D_k.\) It was shown in the paper that the laws of both \(X=\{X^k,k\geq 1\}\) and \(Y=\{Y^k,k\geq 1\}\) are tight in the Skorokhod space \(\mathbf{D}([0,\infty),\mathbb{R}^n)\) of right continuous functions having left limits and if \(D\) satisfies an additional condition, which is satisfied by all bounded Lipschitz or bounded uniform domains, then both \(X\) and \(Y\) converge weakly to the stationary RBM on \(D\) in the Skorokhod space \(\mathbf{D}([0,1),\mathbb{R}^n).\) The third scheme is concerned with the so-called ``myopic conditioning''. One say that a Markov process is conditioned in a myopic way if it is conditioned not to hit the boundary for a very short period of rime, say, \(2^{-k}\) units of time, where \(k\) is large, and if this conditioning step is repeated over and over again. A more precise description of myopic conditioning of BM is the following. For every integer \(k\geq 1,\) let \(\{Z_{j2^{-k}},j=0,1,2...\}\) be a discrete time Markov chain with one-step transition probabilities being the same as those for the BM in \(D\) conditioned not to exit \(D\) before time \(2^{-k}.\) The process \(Z_t^k\) can be defined for \(t\in [(j-1)2_{-k},j2^{-k}]\) either as the conditional BM going from \(Z_{(j-1)2^{-k}}\) to \(Z_{j2^{-k}}\) without leaving the domain \(D\) or as a linear interpolation between \(Z_{(j-1)2^{-k}}\) and \(Z_{j2^{-k}}.\) In the last main statement of the paper it is proved that for any domain \(D\), the laws of \(Z^k\) (defined in either way) converge to that of the RBM on \(D.\) One may point out also that in the introduction the authors give a brief review of RBM on nonsmooth domains, followed by a breaf description of the approach of this paper to establish discrete approximations of RBM.