 Markov processes with darning and their approximationsZhen-Qing Chen and Jun Peng Stochastic Processes and their Applications, 2018, vol. 128, issue 9, 3030-3053 Abstract: In this paper, we study darning of general symmetric Markov processes by shorting some parts of the state space into singletons. A natural way to construct such processes is via Dirichlet forms restricted to the function spaces whose members take constant values on these collapsing parts. They include as a special case Brownian motion with darning, which has been studied in details in Chen (2012), Chen and Fukushima (2012) and Chen et al. (2016). When the initial processes have discontinuous sample paths, the processes constructed in this paper are the genuine extensions of those studied in Chen and Fukushima (2012). We further show that, up to a time change, these Markov processes with darning can be approximated in the sense of finite-dimensional distributions by introducing additional jumps with large intensity among these compact sets to be collapsed into singletons. For diffusion processes, it is also possible to get, up to a time change, diffusions with darning by increasing the conductance on these compact sets to infinity. To accomplish these, we give a version of the semigroup characterization of Mosco convergence to closed symmetric forms whose domain of definition may not be dense in the L2-space. The latter is of independent interest and potentially useful to study convergence of Markov processes having different state spaces. Indeed, we show in Section 5 of this paper that Brownian motion in a plane with a very thin flag pole can be approximated by Brownian motion in the plane with a vertical cylinder whose horizontal motion on the cylinder is a circular Brownian motion moving at fast speed. Keywords: Strong Markov process; Darning; Shorting; Dirichlet form; Closed symmetric form; Mosco convergence; Semigroup convergence; Approximation; Jumping measure (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:128:y:2018:i:9:p:3030-3053 Ordering information: This journal article can be ordered from DOI: 10.1016/j.spa.2017.10.009 Access Statistics for this article Stochastic Processes and their Applications is currently edited by T. Mikosch More articles in Stochastic Processes and their Applications from Elsevier |
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