Electronic Journal of Probability

Reflected Brownian motion: selection, approximation and linearization

Marc Arnaudon and Xue-Mei Li

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We construct a family of SDEs with smooth coefficients whose solutions select a reflected Brownian flow as well as a corresponding stochastic damped transport process $(W_t)$, the limiting pair gives a probabilistic representation for solutions of the heat equations on differential 1-forms with the absolute boundary conditions. The transport process evolves pathwise by the Ricci curvature in the interior, by the shape operator on the boundary where it is driven by the boundary local time, and with its normal part erased at the end of the excursions to the boundary of the reflected Brownian motion. 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 it agrees with the construction of N. Ikeda and S. Watanabe [29] by Poisson point processes. The construction leads also to an approximation for the boundary local time, in the topology of uniform convergence but not in the semi-martingale topology, indicating the difficulty in proving convergence of solutions of a family of random ODE’s to the solution of a stochastic equation driven by the local time and with jumps. In addition, we obtain a differentiation formula for the heat semi-group with Neumann boundary condition and prove also that $(W_t)$ is the weak derivative of a family of reflected Brownian motions with respect to the initial point.

Article information

Electron. J. Probab., Volume 22 (2017), paper no. 31, 55 pp.

Received: 31 March 2016
Accepted: 27 February 2017
First available in Project Euclid: 25 March 2017

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Primary: 60G

Brownian motion reflection local time boundary stochastic flow heat equation

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Arnaudon, Marc; Li, Xue-Mei. Reflected Brownian motion: selection, approximation and linearization. Electron. J. Probab. 22 (2017), paper no. 31, 55 pp. doi:10.1214/17-EJP41. https://projecteuclid.org/euclid.ejp/1490407496

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