Open Journal of Mathematical Sciences
Vol. 6 (2022), Issue 1, pp. 168 – 176
ISSN: 2523-0212 (Online) 2616-4906 (Print)
DOI: 10.30538/oms2022.0185
Discrete Dirichlet forms as traces of Feller’s one-dimensional diffusions
Rafed Moussa
Department of Applied Mathematics, Higher school of science and technology of Hammam Sousse. University of Sousse, Tunisia. Analysis, Probability and Fractals Laboratory LR18ES17.; rafed.moussa@ept.rnu.tn
Abstract
Keywords:
1. Introduction
In this paper, we are interested in diffusion processes which have important applications in several domains such as biology, economy and finance. Thus from this research we draw our attention to discretize a Dirichlet form by computing its trace form through the scaling function \(\theta\) as well as the speed measure \(\mu\) associated to Feller 's one-dimensional diffusions operators \(\frac{\mathrm{d}}{\mathrm{d} \mu}\frac{\mathrm{d}}{\mathrm{d} \theta}\) on an open interval \(\Omega\).
In order to compute traces of Feller's Dirichlet forms on a countable set concerning a functional \(Tr\), we shall apply the methods developed in [1,2] for the transient case. Hence in this situation, we have to determine the extended Dirichlet spaces \(\mathcal{D}_{ext}\) via Feller's classification of the boundaries. At to end of this paper, we will apply the obtained theoretical results to the Feller's Dirichlet form associated with the 1-order Bessel operator.
We arranged this paper as follows. In §2, we briefly review Feller's one-dimensional diffusions and basic notations to construct the Dirichlet form associated with Feller's operators. Then, in §3, we compute traces of Dirichlet form explicitly concerning discrete measures supported by countable sets \(F\). Finally, examples in §4 such as 1-order Bessel processes on a weighted graph \((\mathbb{N}, \omega)\) illustrate the detailed results. We emphasis that a Bessel process on the half-line is also the radial component of the standard Brownian motion in the Euclidean space \(\mathbb{R}^n\) (we refer to [3] for more details).
2. Preliminaries
Let \(\Omega \) be an open interval of the real line \(\mathbb{R}\). We set \( \mathcal{E}^{(\theta)}\) a Dirichlet form with domain \(D^{(\theta)}\) in \(\mathcal{H}= L^2(\Omega,\mu)\) defined by \[ \mathcal{E}^{(\theta)}[f]:=\int_\Omega (\frac{d f}{d\theta}(x))^2\,d\theta(x). \] Let a positive Radon measure \(\nu\) with support \(F\subset \Omega\) that charges no sets having zero capacity. We consider \(\mathcal{H}_{aux} = L^2(F,\nu)\) and assume that trace operator \[Tr: dom (Tr) \subseteq D^{(\theta)}\cap L^2(F,\nu)\to L^2(F,\nu),\ f \mapsto f_{|_F},\] is closed. We shall designate by \(\check{E}\) the trace form of \(\mathcal{E}^{(\theta)}\) w.r.t \(Tr\) (or w.r.t the measure \(\nu\)) and by \(\check{D}\) its domain.2.1. Feller's Dirichlet forms
In this section we will introduce a Dirichlet form associated with the Feller's operator on some subsets of \(\mathbb{R}\).Let \(\Omega =(0,\infty)\) and we consider a continuous strictly increasing function \(\theta : \Omega \rightarrow \mathbb{R}\). Let
\[ AC_{loc}(\Omega) := \{ f: \Omega \to \mathbb{R}, \ \text{ locally absolutely continuous on } \ \Omega\} \,, \] and \[ AC_{\theta}(\Omega) := \{ f: \Omega \to \mathbb{R}, \ \text{ absolutely continuous w.r.t}\ \ \mathrm{d}\theta\ \text{on } \ \Omega\}. \] Assume that \(\theta \in AC_{loc}(\Omega) \) such that \[ \theta(x) = \int_c^x \gamma^{-1}(t)\, \mathrm{d}t, \ \ \forall\,x\in \Omega,\ c>0, \] where \(\gamma>0\) and \(\gamma^{-1} = \frac{1}{\gamma}\in { L}^1_{loc}(\Omega)\). Obviously \(\theta(\mathrm{d}x) = \gamma^{-1}(x)\,\mathrm{d}x\). Moreover, the scaling function \(\theta\) can be also regarded as a scaling measure on Borel subsets \(J\) of \(\mathbb{R}\) given by \[ \theta(J) := \int_J \gamma^{-1}(x)\ \mathrm{d}x. \] Giving a speed measure \(\mu\) with full support \(\Omega\) as \[ \mu(\mathrm{d}x) = \gamma(x)\, dx, \] with \(\gamma>0\) and \(\gamma\in { L}^1_{loc}(\Omega)\). We denote by \[ D^{(\theta)} := \Bigl\{f: \Omega\to\mathbb{R}:\; f\in AC_{\theta}(\Omega),\ \ \int_\Omega \big(\frac{d f}{d\theta}(x)\big)^2 \ \mathrm{d}\theta < \infty\Bigr\}\,,\] where \(\displaystyle\frac{\mathrm{d} f}{\mathrm{d}\theta}\) is the Radon-Nikodym derivative of \(\mathrm{d}f\) w.r.t \(\mathrm{d}\theta\).We define a Dirichlet form \(\mathcal{E}\) with a densely defined domain \(D\) in \( L^2(\Omega,\mu)\) by
Lemma 1. Each function from \(D\) is continuous and a.e. differentiable on \(\Omega\).
Proof. As each function \(f\in D\) is absolutely continuous w.r.t \(\mathrm{d}\theta\), it is a composition of continuous functions, hence continuous. Since \(\theta\) is strictly increasing then by Lebesgue's theorem it is a.e. differentiable. Besides every locally absolutely continuous function is a.e. differentiable. Hence \(f\) is a.e. differentiable.
Using Lemma 1 together with the fact that \(\frac{1}{\gamma} \in L^1_{loc}(\Omega)\), we get \[ \frac{\mathrm{d} f}{\mathrm{d}\theta}(x) = \frac{\mathrm{d} f}{\mathrm{d}x}.\frac{\mathrm{d} x}{\mathrm{d}\theta}(x) = \frac{\mathrm{d} f}{\mathrm{d}x}.\gamma(x). \] Hence2.2. Feller's classification of the boundaries
We letThe left boundary \(0\) can be classified as follows: ( see [7, p. 151-152])
- (a) regular if \(\lambda_1 < \infty\), \( \lambda_2 < \infty\),
- (b) exit if \(\lambda_1 < \infty\), \( \lambda_2 = \infty\),
- (c) entrance if \(\lambda_1 = \infty\), \( \lambda_2 < \infty\),
- (d) natural if \(\lambda_1 = \infty\), \( \lambda_2 = \infty\).
Definition 1([4]).
- (a) We say that the boundary \(0\) (resp. \(\infty\)) is approachable whenever \[ \theta(0)>-\infty\ \ (\text{resp.} \ \theta(\infty)< \infty). \]
- (b) We say that the boundary \(0\) (resp. \(\infty\)) is regular if \[ { it\ is\ approachable\ and}\ \int_0^c\ \gamma(y)\ \mathrm{d}y < \infty, ({ \ resp.} \ \int_c^\infty\ \gamma(y)\ \mathrm{d}y< \infty), \ \forall\,c>0. \]
Remark 1 ([4]). If a Dirichlet form \((\mathcal{E}, D)\) on \(L^2(\Omega,\mu)\) is transient, then its extended Dirichlet space \(D_{ext}\) is complete w.r.t the metric \(\mathcal{E}\).
Henceforth, making use the theorem below to induce the extended Dirichlet space \(D_{ext}\).Theorem 1. Assume that boundary \(0\) (resp. \(\infty\)) is approachable but non-regular. Let
Proof. See [8, Theorem 3.2].
By virtue of [4, Theorem 2.2.11] \(\mathcal{E}\) is transient if and only if either \(0\) or \(\infty\) is approachable and non-regular. Henceforth we assume that either \(0\) or \(\infty\) is approachable but non-regular. Thus \(\mathcal{E}\) is transient. The Feller's test of non-explosion processes ([4, p. 126]) leads to the conservativeness property of \(\mathcal{E}\) wheneverRemark 2. If \(0\) (resp. \(\infty\)) is approachable, hence for each function \(f\) from \(D^{(\theta)}\) we get \( f(0) = \lim_{x\downarrow 0, x\in \Omega} f(x) < \infty, \ (\text{resp.}\ \ f(\infty) = \lim_{x\uparrow \infty, x\in \Omega} f(x)\ < \infty)\) and \(f\in \mathcal{C}(\overline{\Omega})\), (resp. \(f\in \mathcal{C}(\Omega)\) ) [4].
3. Traces of one-dimensional diffusions on countable sets
Let \(F = \{p_k\in\Omega,\ k\in\mathbb{N}\}\) be a countable set. Let \((\alpha_k)_{k\in\mathbb{N}}\) be a sequence of in the right half axis \((0,\infty)\). We define a discrete measure \(\nu\) on \(F\) by \[ \nu=\sum_{k \in \mathbb{N}} \alpha_k\delta_{p_k}, \] where \(\delta_{p_k}\) denote the Dirac measure centred on some fixed point \(p_k\) in \(F\).Let \( \mathcal{H}_{aux} =\ell^2 (F, \mu)\) be a real Hilbert space equipped with a scalar product given by
\[ (f,g)_\nu:= \sum_{k\in\mathbb{N}}\ \alpha_k f(p_k) g(p_k) \ \ \text{and}\ \ \|f\|_\nu := \sqrt{(f,f)_\nu}. \] On the other hand, \(\check{E}\) is the trace of \(\mathcal{E}\) on \(F\) w.r.t \(\nu\) (see [1,9,10]). As by assumptions \(\mathcal{E}\) is transient, hence we can adopt the technique developed in [2]to evaluate \(\check{E}\).We shall now discuss the following case:
\begin{equation} 0 \  is \  approachable \  and \  non-regular. \end{equation} According to Theorem 1 the extended domain \(D_{ext}\) is given by \begin{align*} D_{ext} = \bigl\{ f: \Omega\to\mathbb{R}:\; f\in AC_{\theta}&(\Omega),\ \int_\Omega \ (\frac{\mathrm{d} f}{\mathrm{d}x}(x))^2 \ \gamma(x)\ \mathrm{d}x < \infty\ \ s.t.\ \ f(0) = 0 \bigl\}. \end{align*} The trace operator \(Tr\) defined from \( dom(Tr) \) to \( \ell^2 (F, \nu)\) by \begin{align*} dom(Tr) & :=\bigl\{f\in D_{ext}:\; \sum_{k\in\mathbb{N}} \alpha_k f^2(p_k) < \infty\bigr\},\\ Tr f & :=f|_{F} \quad\text{for all }f\in dom(Tr). \end{align*} Furthermore, the linear operator \(Tr\) is bounded on \((D_{ext}, \mathcal{E})\) if and only if \((\alpha_k)\) is bounded. Regularity of \(\mathcal{E}\) implies density of \(dom (Tr)\) in \((D_{ext}, \mathcal{E})\) as well as density of \(ran (Tr)\) in \(\ell^2 (F, \nu)\). Obviously \[\ker( Tr) = \bigl\{ f\in dom(Tr) :\; f(p_k) = 0\quad\text{for all } k\in \mathbb{N} \bigr\}. \] According to [1, Chapter 1] we can compute the trace form \(\check{E}\) following method introduced by Fukushima. Thereby we denote by \(\Pi\) the \(\mathcal{E}\)-orthogonal projection in \(D_{ext}\) onto \((\ker (Tr))^{\perp}\). Then \[ dom \check{E}= ran (Tr) \ \text{and}\ \ \check{E}[Tr\ f] = \mathcal{E}[\Pi f],\ \text{for all}\ f\in dom(Tr). \] Certainly \[(\ker (Tr))^{\perp} = \{ f\in D_{ext} \ : \ \mathcal{E}(f,g) = 0,\quad\text{for all } g\in \ker(Tr)\}. \] We are now in position to compute \(\mathcal{E}\)-orthogonal projection \(\Pi\).Theorem 2. Let \(f\in D_{ext}\). Then \(\Pi f\) a solution from \(D_{ext}\) of the Sturm-Liouville problem
Proof. Assume that \( t = \theta^{-1}\) is absolutely continuous and \(t' \in L^2_{loc}(\Omega)\). Hence, making use [11,Lemma 2.1] we get \[ \mathcal{C}_c^{\infty} (\Omega \setminus F) \subset D. \] Let \(f\in D_{ext}\). Given that \(\Pi\) the \(\mathcal{E}\)-orthogonal projection from \(D_{ext}\) onto \((\ker (Tr))^{\perp}\), then \[\mathcal{E}(\Pi f , g) =0, \ \ \text{for all}\ g\in \mathcal{C}_c^{\infty}(\Omega \setminus F), \] which is equivalent to \[ \big\langle\frac{1}{\gamma} (\Pi f)',g' \big\rangle_{\mathcal{C}_c^{\infty} (\Omega \setminus F)',\mathcal{C}_c^{\infty} (\Omega \setminus F)} = 0, \] with \(\big\langle .,. \big\rangle_{\mathcal{C}_c^{\infty} (\Omega \setminus F)',\mathcal{C}_c^{\infty} (\Omega \setminus F)} \) is the dual bracket between \(\mathcal{C}_c^{\infty} (\Omega \setminus F)\) and its dual \(\mathcal{C}_c^{\infty} (\Omega \setminus F)'\). Accordingly, we obtain \[ -\big\langle\big(\frac{1}{\gamma} (\Pi f)'\big)',g \big\rangle_{\mathcal{C}_c^{\infty} (\Omega \setminus F)',\mathcal{C}_c^{\infty} (\Omega \setminus F)} = 0, \] which leads to
It is easy to proof the converse so we omit.
We are in position now to compute explicitly the \(\mathcal{E}\)-orthogonal projection \(\Pi f\) solution of the boundary value problem (9). Set \(\mathbb{N}_0 = \mathbb{N}\cup \{0\}\).Lemma 2. Let \(f\in D_{ext}\). Then
Proof. On the light of the Theorem 2, it suffices to show that the function given by (11) solves the following ODE
Theorem 3. For each function \(f\in dom (Tr)\). It holds \(dom(\check{E}) = ran (Tr) \) and
Proof. Let \(f\in dom (Tr)\) and \(p_0 =0\). An integration by parts leads to
3.1. Feller's Dirichlet forms on graphs
At this stage, the trace form \(\check{E}\) can be rewritten as \begin{eqnarray*} \check{E}[Tr\ f] & = & \sum_{p_k \in F}\sum_{p_j\sim p_k} \ \omega(p_k,p_j) \big(f(p_k)) - f(p_j)\big)^2, \ \ \text{for each}\ \ p_j\in F, \end{eqnarray*} where \[ \omega(p_k,p_j)= \frac{1}{ 2\ \theta([p_k,p_j])}>0\ \ \text{if}\ p_k\sim p_j, \ \text{and}\ \omega(p_k,p_j)= 0 \ \ \text{otherwise}. \] Then \[ \check{E}[Tr\ f] =\sum_{k\in\mathbb{N}} \ \omega(p_k,p_{k+1}) \big(f(p_{k+1})) - f(p_k)\big)^2, \ \text{for all}\ f\in dom (Tr). \] We shall now adapt the geometric condition (A) of [12]. Moreover, \( \tilde{L}\big( \mathcal{C}_c(F) \big)\subseteq \mathcal{C}_c(F)\) whereRemark 3. Assume that \(\alpha_k=1\) for all \(k\in\mathbb{N}\). Let us emphasize that the latter formulae can be viewed as a discrete Jacobi operator as follows,
4. Examples
4.1. Traces of one-dimension diffusion operators on \(\mathbb{N}\)
We consider the state space \(I =[0,\infty)\). Let \(\theta\) be a canonical scaling function (i.e. \(\theta(x) =x\)) and \(\mu\) be a canonical speed measure such that \( supp[\mu] = I\). Let us consider \(H:=L^2((0,\infty),dx)\), \(D=W^{1,2}(0,\infty)\) and define \(\mathcal{E}\) in \(H\) by \[ D:=W^{1,2}(0,\infty),\quad \mathcal{E}[f]:=\int_0^\infty(\frac{\mathrm{d} f}{\mathrm{d}x}(x))^2\, \mathrm{d}x. \] It is known that \(\mathcal{E}\) is associated with the Laplacian on \((0,\infty)\) with Neumann condition on \((0,\infty)\) that is \(\frac{\mathrm{d} f}{\mathrm{d}x}(0^+)=0\). Furthermore from [4, Theorem 2.2.11, p.68] \(\mathcal{E}\) is recurrent and hence conservative.Let \((\alpha_n)_{n\in\mathbb{N}}\) be a sequence in \((0,\infty)\) and \(\nu:=\sum_{n\in\mathbb{N}}\alpha_n\delta_n\). Choose \(H_{aux}=L^2(F,\nu)=\ell^2(\mathbb{N},\nu)\). By Sobolev's embedding theorem, every \(f\in W^{1,2}(0,\infty)\) has a unique continuous representative \(\tilde{f}\). We shall assume that every element in \(W^{1,2}(0,\infty)\) is continuous. The trace operator \(Tr\) is defined from \(D\) to \(\ell^2(\mathbb{N},\nu)\) by
\[ dom (Tr) :=\{f\in W^{1,2}(0,\infty):\; \sum_{n\in\mathbb{N}} \alpha_n f_n^2 < \infty\},\quad Tr\ f:=f|_{\mathbb{N}} \quad\text{for all }f\in dom (Tr). \] A routine computation leads to \begin{eqnarray*} \check{D} := dom\check{E} = \{\psi = (\psi_n)\in \ell^2(\mathbb{N},\nu),\ \sum_{n\in\mathbb{N}}(\psi_{n+1}-\psi_n)^2< \infty\}, \end{eqnarray*} and \begin{eqnarray*} \check{E}[\psi] & = & \sum_{n\in\mathbb{N}} \frac{1}{\theta([n, n+1])} \big(\psi_{n+1} - \psi_n \big)^2 \\ & = & \sum_{n\in\mathbb{N}} \frac{1}{\big( (n+1) -n\big)} \big(\psi_{n+1} - \psi_n \big)^2 \\ & = & \sum_{n\in\mathbb{N}}(\psi_{n+1}-\psi_n)^2. \end{eqnarray*} Owing to these considerations, \(\check{E}\) has the following expressionFrom [12, Theorem 6] the discrete Laplacian operator associated with \(\check{E}\) is given by
\[ (\check{L} \psi)_n = - \psi_{n+1} + 2 \psi_n - \psi_{n-1},\ \ \text{for all}\ n\in\mathbb{N}\,, \] and acting on \[ dom (\check{L}) := \{ \psi = (\psi_n) \in \ell^2(\mathbb{N},\nu)\ : \ \check{L}\psi\in \ell^2(\mathbb{N},\nu) \}. \]4.2. Traces of the Feller's Dirichlet forms related to 1-order Bessel's process on \(\mathbb{N}\)
Let us consider a speed measure \(\mu\) defined on \(\Omega =(0,\infty)\) by \[ \mu(\mathrm{d}x) = 2 x^{3} \mathrm{d}x. \] We define the scaling function \(\theta\) on \(\Omega\) by \[ \theta(\mathrm{d}x) = \frac{1}{ x^{3}} \mathrm{d}x.\] We are concerned with the Feller's Dirichlet form \(\mathcal{E}\) with domain \(D \subset \mathcal{H}=L^2(\Omega, \mu)\) defined by \begin{align*} D :=D^{(\theta)}\cap L^2(\Omega, \mu),\ \mathcal{E}[f]:= \int_\Omega (\frac{\mathrm{d} f}{\mathrm{d}x}(x))^2 x^{3} \mathrm{d}x \quad\text{for all }f\in D, \end{align*} where \[ D^{(\theta)}:=\Bigl\{f: \Omega\to\mathbb{R}:\ u\in AC_\theta(\Omega),\ \ \ \int_\Omega (\frac{\mathrm{d} f}{\mathrm{d}x}(x))^2 x^{3} \mathrm{d}x < \infty\Bigr\}. \] It is easy to check that boundary \(0\) is non-approachable whereas \( \infty\) is approachable and non-regular. Accordingly, we can determine the extended domain \(D_{ext}\) asAccordingly we fix a discrete measure
\[ \nu=\sum_{n\in\mathbb{N}} \alpha_n\delta_{n}, \] which is supported by \(F = \mathbb{N} \).In order to compute \(\check{E}\) on the set \(\mathbb{N}\) in \( \mathcal{H}_{aux}= \ell^2(\mathbb{N}, \nu)\) we proceed to apply Theorem 3 to get the following formulae
Conflicts of Interest:
The author declares no conflict of interest.Data Availability:
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No funding is available for this research.References
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