Reflecting random walk in fractal domains

DOI10.1214/12-AOP745MaRDI QIDQ359690zbMATH OpenOpenAlexFDO

Publication date 22 August 2013

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

Full work available at URL https://arxiv.org/abs/1105.4283, https://projecteuclid.org/euclid.aop/1372859767

Dirichlet form killed Brownian motion random walk reflected Brownian motion Skorokhod space Sobolev space tightness weak convergence

Mathematics Subject Classification ID

Dirichlet forms (31C25) Sobolev spaces and other spaces of ``smooth functions, embedding theorems, trace theorems (46E35) Functional limit theorems; invariance principles (60F17) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Diffusion processes (60J60)

Abstract: In this paper, we show that reflecting Brownian motion in any bounded domain D can be approximated, as

k o i n f t y

, by simple random walks on "maximal connected" subsets of

(2^{- k} m a t h b b Z^{d}) c a p D

whose filled-in interiors are inside of D.

Review text

In this paper, the authors show that a reflecting Brownian motion on any domain can be approximated by a sequence of discrete-time (Theorem 3.6), as well as continuous-time (Theorem 4.2), random walks if the state spaces \(D_k\) for the random walks are constructed in a different (from the recent paper of the same authors) ``natural way. And the technical essence of the paper is Theorem 2.1 which shows that, in a sense, the Dirichlet form for reflecting Brownian motion can be approximated from below by discrete Dirichlet forms. A precise description of the reflecting Brownian motion on a bounded domain \(D\subset \mathbb{R}^d\), \(d\geq 1\), is given in the introduction.

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