Discrete approximations to local times for reflected diffusions

DOI10.1214/16-ECP4694zbMATH Open1336.60068arXiv1410.3585MaRDI QIDQ287796FDOQ287796

Authors: Wai-Tong Louis Fan 

Publication date: 23 May 2016

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Abstract: We propose a discrete analogue for the boundary local time of reflected diffusions in bounded Lipschitz domains. This discrete analogue, called the discrete local time, can be effectively simulated in practice and is obtained pathwise from random walks on lattices. We establish weak convergence of the joint law of the discrete local time and the associated random walks as the lattice size decreases to zero. A cornerstone of the proof is the local central limit theorem for reflected diffusions developed in [7]. Applications of the join convergence result to PDE problems are illustrated.

Full work available at URL: https://arxiv.org/abs/1410.3585

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zbMATH Keywords

random walklocal timeheat kernelreflected diffusionRobin boundary problem

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Boundary value problems for second-order elliptic equations (35J25) Second-order parabolic equations (35K10) Discrete approximations in optimal control (49M25) Local time and additive functionals (60J55)

Cited In (5)

• Local time penalizations with various clocks for one-dimensional diffusions
• Scaling limits of random walks, harmonic profiles, and stationary nonequilibrium states in Lipschitz domains
• Reaction-diffusion on metric graphs: from 3D to 1D
• Stochastic PDEs on graphs as scaling limits of discrete interacting systems
• Title not available (Why is that?)

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