Concatenation of Nonhonest Feller Processes, Exit Laws, and Limit Theorems on Graphs

DOI10.1137/22M1487552MaRDI QIDQ6135330zbMATH OpenOpenAlexWikidataFDO

Authors Adam Bobrowski

Publication date 24 August 2023

Published in SIAM Journal on Mathematical Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2204.09354

zbMATH Keywords

Feller processesexit lawsconcatenation of processesnonlocal boundary and transmission conditionsprocesses on metric graphssnapping out and skew Brownian motions

Mathematics Subject Classification ID

Markov semigroups and applications to diffusion processes (47D07) Singular perturbations in context of PDEs (35B25) Reaction-diffusion equations (35K57) Transition functions, generators and resolvents (60J35) One-parameter semigroups and linear evolution equations (47D06) Initial-boundary value problems for systems of linear first-order PDEs (35F46) Feller processes (60G53)

Abstract: We provide a rather explicit formula for the resolvent of a~concatenation of $N$ processes in terms of their exit laws and certain probability measures characterizing the way the processes are concatenated. As an application, we prove an averaging principle saying that by concatenating asymptotically splittable processes one can approximate Markov chains.

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Cited in

(2)

• New semigroups from old: an approach to Feller boundary conditions
• Noncolliding Jacobi processes as limits of Markov chains on the Gelfand-Tsetlin graph

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