An approach to the biharmonic pseudo process by a random walk. (Q1411702)

The author considers the partial differential equation \(\frac{\partial u}{\partial t}=-\frac 1 8\,\frac {\partial^ 4 u} {\partial x^ 4}\). The operator \(\Delta^2=\frac {\partial^ 4} {\partial x^ 4}\) is called the biharmonic operator. The fundamental solution, \[ q(t,x)=\frac 1{2\pi}\int_{\mathbb R} d \lambda\, e^{-{\text i} x\lambda-\lambda^ 4 t/8}, \] also attains negative values. As a probabilistic approach to the equation, in earlier works Krylov, Hochberg and Nishioka constructed a signed finitely additive measure on a suitable path space, the so-called biharmonic pseudo process. The novelty of the present paper is a construction of an explicit Markov chain, \((X_ n)_{n\in\mathbb N_ 0}\), on \(\mathbb Z\) with signed step distribution such that a suitable scaling limit is equal to the above process. In this way, earlier results by Nishioka are recovered. The steps of the chain are i.i.d., and they assume the values \(0\), \(\pm 1\) and \(\pm2\) with probabilities \(\frac 14\), \(\frac 12\) and \(-\frac 18\), respectively. Then a Taylor approximation shows for sufficiently smooth functions \(f\) that \(\mathbb E_ x[f(X_ 1)]-f(x)\approx -\frac 18 \Delta^ 2 f(x)=-\frac 18 f''''(x)\) for starting points \(x\in \mathbb Z\). Furthermore, the characteristic function, \(M(\mu)=\mathbb E[e^{{\text i}\mu X_ 1}] =1-\frac 12(1- \cos \mu)^ 2\), lies between \(-1 \) and \(1\). Let \(p(n,k)\) denote the \(n\)-step probability from \(0\) to \(k\in \mathbb Z\), then the rescaling \(\varepsilon^{-1}p(x\varepsilon^{-1},t\varepsilon^{-4})\) converges, as \(\varepsilon\downarrow 0\), towards the above fundamental solution, \(q(t,x)\). Further asymptotic scaling results of the paper concern the corresponding initial-boundary value problem, the hitting time and hitting measure for the interval \((-\infty,0)\) and for finite intervals, and the transition probabilities for the killed process.