Construction of distorted Brownian motion with permeable sticky behaviour on sets with Lebesgue measure zero

Abstract

The starting point is a gradient Dirichlet form with respect to $\varrho {\lambda }^d$ on the space $L^2({\mathbb{R}}^d,\varrho \mu )$. Here ${\lambda }^d$ is the Lebesgue measure on ${\mathbb{R}}^d$, $\varrho$ a strictly positive density and $\mu$ puts weight on a set $A\subset {\mathbb{R}}^d$ with Lebesgue measure zero. We show that the Dirichlet form admits an associated stochastic process $X$. We derive an explicit representation of the corresponding generator if $A$ is a Lipschitz boundary. This representation together with the Fukushima decomposition identifies $X$ as a distorted Brownian motion with drift given by the logarithmic derivative of $\varrho$ in ${\mathbb{R}}^d\setminus A$. Furthermore, we prove $X$ to be irreducible and recurrent. Finally, via ergodicity we prove positive séjour time of $X$ on $A$. Hence we obtain a stochastic process $X$ with permeable sticky behaviour on $A$.

In the new version, we work out the one-dimensional case in more detail. I.e., we prove that the process constructed via the Dirichlet form solves an associated SDE for all starting points $x\in \mathbb{R}$, even for a larger class of densities. We show that our process coincides with the one constructed in [Bas14] and [EP14]