Limit behaviour of random walks on ℤmwith two-sided membrane

DOI10.1051/PS/2022009MaRDI QIDQ6175886zbMATH OpenFDO

Authors Ilya Pavlyukevich, Andrey Yu. Pilipenko

Publication date 21 August 2023

Published in ESAIM: Probability and Statistics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2108.02193

zbMATH Keywords

martingale characterizationperturbed random walkskew Brownian motiontwo-sided membraneWalsh's Brownian motionweak convergence

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Sums of independent random variables; random walks (60G50) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Local time and additive functionals (60J55) Diffusion processes (60J60) Brownian motion (60J65) Processes in random environments (60K37)

Abstract: We study Markov chains on $mathbb{Z}^m$, $mgeq2$, that behave like a standard symmetric random walk outside of the hyperplane (membrane) $H=0imesmathbb{Z}^{m-1}$. The transition probabilities on the membrane $H$ are periodic and also depend on the incoming direction to $H$, what makes the membrane $H$ two-sided. Moreover, sliding along the membrane is allowed. We show that the natural scaling limit of such Markov chains is a $m$-dimensional diffusion whose first coordinate is a skew Brownian motion and the other $m-1$ coordinates is a Brownian motion with a singular drift controlled by the local time of the first coordinate at $0$. In the proof we utilize a martingale characterization of the Walsh Brownian motion and determine the effective permeability and slide direction. Eventually, a similar convergence theorem is established for the one-sided membrane without slides and random iid transition probabilities.

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Cited in

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• Limit behavior of symmetric random walks with a membrane
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