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

DOI10.1137/22M1487552zbMATH Open1528.60043arXiv2204.09354OpenAlexW4385807539WikidataQ122868437 ScholiaQ122868437MaRDI QIDQ6135330FDOQ6135330

Adam Bobrowski

Publication date: 24 August 2023

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

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.

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

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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)

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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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