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2009 Wiener Process with Reflection in Non-Smooth Narrow Tubes
Konstantinos Spiliopoulos
Author Affiliations +
Electron. J. Probab. 14: 2011-2037 (2009). DOI: 10.1214/EJP.v14-691
Abstract

Wiener process with instantaneous reflection in narrow tubes of width $\epsilon\ll 1$ around axis $x$ is considered in this paper. The tube is assumed to be (asymptotically) non-smooth in the following sense. Let $V^{\epsilon}(x)$ be the volume of the cross-section of the tube. We assume that $\frac{1}{\epsilon}V^{\epsilon}(x)$ converges in an appropriate sense to a non-smooth function as $\epsilon\downarrow 0$. This limiting function can be composed by smooth functions, step functions and also the Dirac delta distribution. Under this assumption we prove that the $x$-component of the Wiener process converges weakly to a Markov process that behaves like a standard diffusion process away from the points of discontinuity and has to satisfy certain gluing conditions at the points of discontinuity.

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Konstantinos Spiliopoulos "Wiener Process with Reflection in Non-Smooth Narrow Tubes," Electronic Journal of Probability 14(none), 2011-2037, (2009). https://doi.org/10.1214/EJP.v14-691
Accepted: 28 September 2009; Published: 2009
Vol.14 • 2009
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