Wiener Process with Reflection in Non-Smooth Narrow Tubes

Abstract

Wiener process with instantaneous reflection in narrow tubes of width ε<<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 $V^{\epsilon }(x)/\epsilon$ converges in an appropriate sense to a non-smooth function as ε->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.

28 pages, 1 figure