Reflected brownian motion: selection, approximation and linearization
Résumé
We construct a family of SDEs whose solutions select a reflected Brownian flow as well as a stochastic damped
transport process (W_t). The latter gives a representation for the solutions to the heat equation for
differential 1-forms with the absolute boundary conditions; it evolves pathwise by the Ricci curvature
in the interior, by the shape operator on the boundary and driven by the boundary local time, and has
its normal part erased on the boundary. 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 this agrees
with the construction of N. Ikeda and S. Watanabe \cite{Ikeda-Watanabe} by Poisson point processes.
This leads also to an approximation for the boundary local time in the topology of uniform convergence;
not in the semi-martingale topology, indicating the difficulty for the convergence of solutions of a family
of random ODE's, with nice coefficients, to the solution of an equation with jumps and driven by the local time.
In addition, We note that (W_t) is the weak derivative of a family of reflected Brownian motions with respect
to the starting point.
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