Discrete approximations to reflected Brownian motion

DOI10.1214/009117907000000240zbMATH Open1141.60014arXivmath/0611114OpenAlexW3105314077MaRDI QIDQ2482284FDOQ2482284

Authors: K. Burdzy, Zhen-Qing Chen 

Publication date: 16 April 2008

Published in: The Annals of Probability (Search for Journal in Brave)

Abstract: In this paper we investigate three discrete or semi-discrete approximation schemes for reflected Brownian motion on bounded Euclidean domains. For a class of bounded domains $D$ in $mathbb{R}^n$ that includes all bounded Lipschitz domains and the von Koch snowflake domain, we show that the laws of both discrete and continuous time simple random walks on $Dcap{2}^{-k}mathbb{Z}^n$ moving at the rate $2^{-2k}$ with stationary initial distribution converge weakly in the space $mathbfD([0,1],mathbb{R}^n)$, equipped with the Skorokhod topology, to the law of the stationary reflected Brownian motion on $D$. We further show that the following ``myopic conditioning algorithm generates, in the limit, a reflected Brownian motion on any bounded domain $D$. For every integer $kgeq1$, let $X_{j{2}^{-k}}^k,j=0,1,2,\mathrm{...}$ be a discrete time Markov chain with one-step transition probabilities being the same as those for the Brownian motion in $D$ conditioned not to exit $D$ before time $2^{-k}$. We prove that the laws of $X^k$ converge to that of the reflected Brownian motion on $D$. These approximation schemes give not only new ways of constructing reflected Brownian motion but also implementable algorithms to simulate reflected Brownian motion.

Full work available at URL: https://arxiv.org/abs/math/0611114

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zbMATH Keywords

random walkmartingaleconditioningreflected Brownian motionDirichlet formtightnessSkorokhod spacekilled Brownian motion

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Diffusion processes (60J60) Functional limit theorems; invariance principles (60F17) Dirichlet forms (31C25)

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Cited In (24)

• Exact simulation of multidimensional reflected Brownian motion
• Convergence of Brownian motions on metric measure spaces under Riemannian curvature-dimension conditions
• Markov chain approximations for one dimensional diffusions
• Quenched invariance principles for random walks and elliptic diffusions in random media with boundary
• Competitive erosion is conformally invariant
• Discrete approximation to Brownian motion with varying dimension in bounded domains
• Scaling limits of random walks, harmonic profiles, and stationary nonequilibrium states in Lipschitz domains
• Discrete approximations to local times for reflected diffusions
• On the roughness of the paths of RBM in a wedge
• Home-range estimation under a restricted sample scheme
• Discrete approximation to Brownian motion with varying dimension in unbounded domains
• Steady-state simulation of reflected Brownian motion and related stochastic networks
• Discrete approximation to Brownian motion with darning
• On a discrete version of the Laugesen-Morpurgo conjecture
• Reaction-diffusion on metric graphs: from 3D to 1D
• Discrete approximation of symmetric jump processes on metric measure spaces
• Scaling limits of interacting diffusions in domains
• Simulation of reflected Brownian motion on two dimensional wedges
• Reflecting random walk in fractal domains
• Discrete Approximations of Strong Solutions of Reflecting SDEs with Discontinuous Coefficients
• Convergence of nonlocal diffusion models on lattices
• Reflected Brownian motion: selection, approximation and linearization
• Markov chain approximation of pure jump processes
• Convergence of discrete Green functions with Neumann boundary conditions

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