Reflected Brownian motion: selection, approximation and linearization

DOI10.1214/17-EJP41zbMATH Open1361.60071arXiv1602.00897OpenAlexW2271975648MaRDI QIDQ519720FDOQ519720

Authors: Marc Arnaudon, Xue-Mei Li 

Publication date: 5 April 2017

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

Abstract: We construct a family of SDEs whose solutions select a reflected Brownian flow as well as a stochastic damped transport process (W_t). The latter gives a representation for the solutions to the heat equation for differential 1-forms with the absolute boundary conditions; it evolves pathwise by the Ricci curvature in the interior, by the shape operator on the boundary and driven by the boundary local time, and has its normal part erased on the boundary. On the half line this construction selects the Skorohod solution (and its derivative with respect to initial points), not the Tanaka solution. On the half space this agrees with the construction of N. Ikeda and S. Watanabe cite{Ikeda-Watanabe} by Poisson point processes. This leads also to an approximation for the boundary local time in the topology of uniform convergence; not in the semi-martingale topology, indicating the difficulty for the convergence of solutions of a family of random ODE's, with nice coefficients, to the solution of an equation with jumps and driven by the local time. In addition, We note that (W_t) is the weak derivative of a family of reflected Brownian motions with respect to the starting point.

Full work available at URL: https://arxiv.org/abs/1602.00897

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zbMATH Keywords

boundaryheat equationlocal timestochastic differential equationsreflected Brownian motionstochastic flow

Mathematics Subject Classification ID

Brownian motion (60J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Heat equation (35K05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Local time and additive functionals (60J55)

Cited In (11)

• Heat conservation for generalized Dirac Laplacians on manifolds with boundary
• Functional inequalities on manifolds with non-convex boundary
• Brenier-Schrödinger problem on compact manifolds with boundary
• A LINEAR PROGRAMMING APPROACH TO THE STEADY-STATE ANALYSIS OF REFLECTED BROWNIAN MOTION
• Bismut-Elworthy-Li formulae for Bessel processes
• Reflected Brownian motion with a drift that depends on its local time
• Vector calculus for tamed Dirichlet spaces
• Heat flow regularity, Bismut-Elworthy-Li's derivative formula, and pathwise couplings on Riemannian manifolds with Kato bounded Ricci curvature
• The heat equation and reflected Brownian motion in time-dependent domains.
• Couplings of Brownian motions with set-valued dual processes on Riemannian manifolds
• Set Estimation from Reflected Brownian Motion

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