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El e c t ro n ic

Jo ur

n a l o

f P

r o

b a b i_{l i t y} Vol. 15 (2010), Paper no. 31, pages 989–1023.

Journal URL

http://www.math.washington.edu/~ejpecp/

Stochastic Homogenization of Reflected Stochastic

Differential Equations

Rémi Rhodes

Ceremade-Université Paris-Dauphine

Place du maréchal De Lattre de Tassigny

75775 Paris cedex 16

email:

rhodes@ceremade.dauphine.fr

Abstract

We investigate a functional limit theorem (homogenization) for Reflected Stochastic Differential Equations on a half-plane with stationary coefficients when it is necessary to analyze both the effective Brownian motion and the effective local time. We prove that the limiting process is a reflected non-standard Brownian motion. Beyond the result, this problem is known as a proto-type of non-translation invariant problem making the usual method of the "environment as seen from the particle" inefficient.

Key words: homogenization, functional limit theorem, reflected stochastic differential equa-tion, random medium, Skorohod problem, local time.

AMS 2000 Subject Classification:Primary 60F17; Secondary: 60K37, 74Q99. Submitted to EJP on March 9, 2009, final version accepted May 24, 2010.

1

Introduction

Statement of the problem

This paper is concerned with homogenization of Reflected Stochastic Differential Equations (RSDE for short) evolving in a random medium, that is (see e.g.[11])

Definition 1.1. (Random medium). Let(Ω,_G,µ)be a probability space and¦τx;x ∈Rd

©

be a group of measure preserving transformations acting ergodically onΩ, that is:

1)∀A∈ G,∀x ∈Rd_,µ(τ_xA) =µ(A),

2) If for any x∈Rd_,τxA=A thenµ(A) =0or1,

3) For any measurable function g on (Ω,G,µ), the function (x,ω) _7→ g(τxω) is measurable on

(Rd_×Ω,B(Rd_{)⊗ G).}

The expectation with respect to the random medium is denoted byM. In what follows we shall use the bold type to denote a random functiong fromΩ_×Rp _intoRn_{(n≥1 andp≥0).}

A random medium is a mathematical tool to define stationary random functions. Indeed, given a function f : Ω _→ R_{, we can consider for each fixed ω the function x ∈} Rd _{7→ f(τxω). This is} a random function (the parameter ω stands for the randomness) and because of 1) of Definition 1.1, the law of that function is invariant underRd_{-translations, that is both functions f}(τ_·ω)and f(τy+·ω) have the same law for any y ∈Rd. For that reason, the random function is said to be

stationary.

We suppose that we are given a randomd_×d-matrix valued functionσ:Ω_→Rd×d_{, two random} vector valued functions b,γ:Ω_→Rd _{and a d-dimensional Brownian motion B defined on a} com-plete probability space(Ω′,_F,P_{)(the Brownian motion and the random medium are independent).} We shall describe the limit in law, as ǫ goes to 0, of the following RSDE with stationary random coefficients

d X_tǫ=ǫ−1b(τXǫ

t/ǫω)d t+σ(τXǫt/ǫω)d Bt+γ(τXǫt/ǫω)d K ǫ

t, (1)

where Xǫ,Kǫ are (_Ft)_t-adapted processes (Ft is the σ-field generated by B up to time t) with

constraint Xǫ_{t ∈}D, where¯ D_⊂Rd _{is the half-plane{(x1, . . . ,xd)∈}Rd_{;x1 >0}, K}ǫ _{is the so-called} local time of the processXǫ, namely a continuous nondecreasing process, which only increases on the set{t;Xǫ_t ∈∂D}. The reader is referred to[13]for strong existence and uniqueness results to (1) (see e.g[23]for the weak existence), in particular under the assumptions on the coefficients

σ,bandγlisted below. Those stochastic processes are involved in the probabilistic representation of second order partial differential equations in half-space with Neumann boundary conditions (see

[17] for an insight of the topic). In particular, we are interested in homogenization problems for which it is necessary to identify both the homogenized equation and the homogenized boundary conditions.

Without the reflection term γ(Xǫ_t/ǫ)d Kǫ_t, the issue of determining the limit in (1) is the subject of an extensive literature in the case when the coefficients b,σ are periodic, quasi-periodic and, more recently, evolving in a stationary ergodic random medium. Quoting all references is beyond the scope of this paper. Concerning homogenization of RSDEs, there are only a few works dealing with periodic coefficients (see[1; 2; 3; 22]). As pointed out in[2], homogenizing (1) in a random

medium is a well-known problem that remains unsolved yet. There are several difficulties in this framework that make the classical machinery of diffusions in random media (i.e. without reflection) fall short of determining the limit in (1). In particular, the reflection term breaks the stationarity properties of the processXǫso that the method of theenvironment as seen from the particle(see[15]

for an insight of the topic) is inefficient. Moreover, the lack of compactness of a random medium prevents from using compactness methods. The main resulting difficulties are the lack of invariant probability measure (IPM for short) associated to the process Xǫ and the study of the boundary ergodic problems. The aim of this paper is precisely to investigate the random case and prove the convergence of the processXǫtowards a reflected Brownian motion. The convergence is established in probability with respect to the random medium and the starting pointx.

We should also point out that the problem of determining the limit in (1) could be expressed in terms of reflected random walks in random environment, and remains quite open as well. In that case, the problem could be stated as follows: suppose we are given, for each z ∈ Zd _satisfying |z_|=1, a random variablec(_·,z):Ω_→]0;+_∞[. Define the continuous time processX with values in the half-lattice L =N_×Zd−1 _{as the random walk that, when arriving at a site x ∈ L, waits a} random exponential time of parameter 1 and then performs a jump to the neighboring sites y ∈ L with jump rate c(τxω,y −x). Does the rescaled random walk ǫXt/ǫ2 converge in law towards a reflected Brownian motion? Though we don’t treat explicitly that case, the following proofs can be adapted to that framework.

Structure of the coefficients

Notations: Throughout the paper, we use the convention of summation over repeated indices

Pd

i=1cidi = cidi and we use the superscript ∗ to denote the transpose A∗ of some given matrix

A. If a random functionϕ :Ω _→R _{possesses smooth trajectories, i.e. for anyω∈}Ωthe mapping x _∈Rd _{7→ϕ(τxω)is smooth with bounded derivatives, we can consider its partial derivatives at 0} denoted byD_iϕ, that is D_iϕ(ω) =∂xi(x7→ϕ(τxω))|x=0.

We define a = σσ∗. For the sake of simplicity, we assume that _∀ω ∈Ω the mapping x _∈Rd _7→

σ(τxω) is bounded and smooth with bounded derivatives of all orders. We further impose these

bounds do not depend onω.

Now we motivate the structure we impose on the coefficientsbandγ. A specific point in the liter-ature of diffusions in random media is that the lack of compactness of a random medium makes it impossible to find an IPM for the involved diffusion process. There is a simple argument to under-stand why: since the coefficients of the SDE driving theRd-valued diffusion process are stationary, anyRd_{-supported invariant measure must be stationary. So, unless it is trivial, it cannot have} fi-nite mass. That difficulty has been overcome by introducing the "environment as seen from the particle" (ESFP for short). It is aΩ-valued Markov process describing the configurations of the en-vironment visited by the diffusion process: briefly, if you denote byX the diffusion process then the ESFP should matchτXω. There is a well known formal ansatz that says: if we can find a bounded

function f :Ω_→[0,+_∞[such that, for eachω∈Ω, the measure f(τxω)d xis invariant for the

dif-fusion process, then the probability measure f(ω)dµ(up to a renormalization constant) is invariant for the ESFP. So we can switch an invariant measure with infinite mass associated to the diffusion process for an IPM associated to the ESFP.

process. Generally speaking, there is no way to find it excepted when it is explicitly known. In the stationary case (without reflection), the most general situation when it is explicitly known is when the generator of the rescaled diffusion process can be rewritten in divergence form as

Lǫf = 1

2e

2V(τx/ǫω)_∂

xi e

−2V(τx/ǫω)_(a

i j+Hi j)(τx/ǫω)∂xjf

, (2)

whereV:Ω_→R_{is a bounded scalar function andH:}Ω_→Rd×d _{is a function taking values in the} set of antisymmetric matrices. The invariant measure is then given bye2V(τx/εω)_{d x and the IPM for} the ESFP matchese2V(ω)dµ. However, it is common to assumeV =H=0 to simplify the problem since the general case is in essence very close to that situation. Why is the existence of an IPM so important? Because it entirely determines the asymptotic behaviour of the diffusion process via ergodic theorems. The ESFP is therefore a central point in the literature of diffusions in random media.

The case of RSDE in random media does not derogate this rule and we are bound to find a framework where the invariant measure is (at least formally) explicitly known. So we assume that the entries of the coefficientsbandγ, defined onΩ, are given by

∀j=1, . . . ,d, bj=

1

2Diai j, γj=aj1. (3) With this definition, the generator of the Markov processXǫcan be rewritten in divergence form as (for a sufficiently smooth function f on ¯D)

Lǫf = 1

2∂xi ai j(τx/ǫω)∂xjf

(4) with boundary condition γi(τx/ǫω)∂xif = 0 on ∂D. If the environmentω is fixed, it is a simple exercise to check that the Lebesgue measure is formally invariant for the processXε. If the ESFP ex-ists, the aforementioned ansatz tells us thatµshould be an IPM for the ESFP. Unfortunately, we shall see that there is no way of defining properly the ESFP. The previous formal discussion is however helpful to provide a good intuition of the situation and to figure out what the correct framework must be. Furthermore the framework (3) also comes from physical motivations. As defined above, the reflection termγcoincides with the so-called conormal field and the associated PDE problem is said to be of Neumann type. From the physical point of view, the conormal field is the "canonical" assumption that makes valid the mass conservation law since the relation a_j1(τx/ǫω)∂xjf = 0 on ∂Dmeans that the flux through the boundary must vanish. Our framework for RSDE is therefore to be seen as a natural generalization of the classical stationary framework.

Remark. It is straightforward to adapt our proofs to treat the more general situation when the genera-tor of the RSDE inside D coincides with(2). In that case, the reflection term is given byγj=aj1+Hj1.

Without loss of generality, we assume that a11=1. We further assume thata is uniformly elliptic,

i.e. there exists a constantΛ>0 such that

∀ω∈Ω, ΛI_≤a(ω)_≤Λ−1I. (5) That assumption means that the process Xε diffuses enough, at each point of ¯D, in all directions. It is thus is a convenient assumption to ensure the ergodic properties of the model. The reader is referred, for instance, to [4; 20; 21]for various situations going beyond that assumption. We also point out that, in the context of RSDE, the problem of homogenizing (1) without assuming (5) becomes quite challenging, especially when dealing with the boundary phenomena.

Main Result

In what follows, we indicate byPǫ

x the law of the processX

ǫ_{starting from x}

∈D¯ (keep in mind that this probability measure also depends onωthough it does not appear through the notations). Let us consider a nonnegative functionχ : ¯D→R_{+such that}R

¯

Dχ(x)d x =1. Such a function defines

a probability measure on ¯Ddenoted byχ(d x) =χ(x)d x. We fix T>0. LetC denote the space of continuous ¯D×R₊-valued functions on[0,T]equipped with the sup-norm topology. We are now in position to state the main result of the paper:

Theorem 1.2. The C-valued process(Xǫ,Kǫ)_ǫ, solution of (1)with coefficients bandγsatisfying(3), converges weakly, inµ⊗χ probability, towards the solution(X¯, ¯K)of the RSDE

¯

Xt=x+A¯1/2Bt+Γ¯K¯t, (6)

with constraints X¯_{t ∈} D and¯ K is the local time associated to¯ X . In other words, for each bounded¯ continuous function F on C andδ >0, we have

lim ǫ→0 µ⊗χ

¦

(ω,x)_∈Ω_×D;¯ Eǫ

x(F(X

ǫ_,Kǫ₎₎

−E_x(F(X¯_{, ¯K))}≥δ ©

=0.

The so-called homogenized (or effective) coefficients A and¯ Γ¯ are constant. Moreover A is invertible,¯ obeys a variational formula (see subsection 2.5 for the meaning of the various terms)

¯ A= inf

ϕ∈C

M(I+Dϕ)∗a(I+Dϕ)

, andΓ¯ is the conormal field associated toA, that is¯ Γ¯_i=A¯1i for i=1, . . . ,d.

Remark and open problem. The reader may wonder whether it may be simpler to consider the case

γi =δ1i whereδ stands for the Kroenecker symbol. In that case,γcoincides with the normal to∂D.

Actually, this situation is much more complicated since one can easily be convinced that there is no obvious invariant measure associated to Xε.

On the other side, one may wonder if, given the form of the generator (4) inside D, one can find a larger class of reflection coefficientsγfor which the homogenization procedure can be carried through. Actually, a computation based on the Green formula shows that it is possible to consider a bounded antisymmetric matrix valued functionA:Ω_→Rd×d _{such thatAi j=0whenever i=1or j=1, and to} setγj=aj1+DiAji. In that case, the Lebesgue measure is invariant for Xε. Furthermore, the associated

Dirichlet form (see subsection 2.3) satisfies a strong sector condition in such a way that the construction of the correctors is possible. However, it is not clear whether the localization technique based on the Girsanov transform (see Section 2.1 below) works. So we leave that situation as an open problem. The non-stationarity of the problem makes the proofs technical. So we have divided the remaining part of the paper into two parts. In order to have a global understanding of the proof of Theorem 1.2, we set the main steps out in Section 2 and gather most of the technical proofs in the Appendix.

2

Guideline of the proof

As explained in introduction, what makes the problem of homogenizing RSDE in random medium known as a difficult problem is the lack of stationarity of the model. The first resulting difficulty

is that you cannot define properly the ESFP (or a somewhat similar process) because you cannot prove that it is a Markov process. Such a process is important since its IPM encodes what the asymptotic behaviour of the process should be. The reason why the ESFP is not a Markov process is the following. Roughly speaking, it stands for an observer sitting on a particleXε_t and looking at the environmentτXε

tωaround the particle. For this process to be Markovian, the observer must be able to determine, at a given time t, the future evolution of the particle with the only knowledge of the environmentτXε

tω. In the case of RSDE, whenever the observer sitting on the particle wants to determine the future evolution of the particle, the knowledge of the environment τXε

tω is not sufficient. He also needs to know whether the particle is located on the boundary∂Dto determine if the pushing of the local timeKε_t will affect the trajectory of the particle. So we are left with the problem of dealing with a processXεpossessing no IPM.

2.1

Localization

To overcome the above difficulty, we shall use a localization technique. Since the processXε is not convenient to work with, the main idea is to compareXεwith a better process that possesses, at least locally, a similar asymptotic behaviour. To be better, it must have an explicitly known IPM. There is a simple way to find such a process: we plug a smooth and deterministic potentialV : ¯D→R_into (4) and define a new operator acting onC2(D¯)

LVǫ=

e2V(x) 2

d

X

i,j=1

∂_xi e−2V(x)a_{i j}(τ_x/ǫω)∂xj

=_Lǫ₋∂_xiV(x)a_{i j}(τ_x/ǫω)∂xj, (7) with the same boundary conditionγ_i(τx/ǫω)∂xi =0 on∂D. If we impose the condition

Z

¯

D

e2V(x)d x=1 (8)

and fix the environmentω, we shall prove that the RSDE with generatorLVǫinsideDand boundary

conditionγi(τx/ǫω)∂xi =0 on∂Dadmitse

2V(x)_{d x as IPM.}

Then we want to find a connection between the processXε and the Markov process with generator LVǫinsideDand boundary conditionγi(τx/ǫω)∂xi =0 on∂D. To that purpose, we use the Girsanov transform. More precisely, we fixT>0 and impose

V is smooth and∂xV is bounded. (9)

Then we define the following probability measure on the filtered space(Ω′;_F,(_Ft)_0≤t≤T)

dPǫ∗

x =exp

−

Z T

0

∂xiV(X ǫ

r)σi j(τXǫ

r/ǫω)d B

j r−

1 2

Z T

0

∂xiV(X ǫ

r)ai j(τXǫ

r/ǫω)∂xjV(X ǫ

r)d r

dPǫ

x.

UnderPǫ∗

x , the processB∗t =Bt+

Rt

0σ(τXǫr/ǫω)∂xV(X ǫ

r)d r (0≤ t ≤T) is a Brownian motion and

the processXǫ solves the RSDE d Xǫ_t =ǫ−1b(τXǫ

t/ǫω)d t−a(τXǫt/ǫω)∂xV(X ǫ

t)d t+σ(τXǫ

t/ǫω)d B

∗

t+γ(τXǫ

t/ǫω)d K ǫ

starting from X₀ǫ= x, where Kǫ is the local time of Xǫ. It is straightforward to check that, if B∗ is a Brownian motion, the generator associated to the above RSDE coincides with (7) for sufficiently smooth functions. To sum up, with the help of the Girsanov transform, we can compare the law of the processXε with that of the RSDE (10) associated to_LVǫ.

We shall see that most of the necessary estimates to homogenize the process Xε are valid under Pǫ∗

x . We want to make sure that they remain valid under P

ǫ

x. To that purpose, the probability

measure Pǫ

x must be dominated by P

ǫ∗

x uniformly with respect toε. From (9), it is readily seen

that C =sup_ε>0 Eǫ∗

x

(dPεx

dPε∗

x

)21/2

< +_∞(C only depends on T,_|a_|∞ and supD¯|∂xV|). Then the

Cauchy-Schwarz inequality yields

∀ε >0, _∀AFT-measurable subset , Pǫx(A)≤C P

ǫ∗

x (A)

1/2

. (11)

In conclusion, we summarize our strategy: first we shall prove that the processXε possesses an IPM under the modified lawPǫ∗_{, then we establish under}Pǫ∗_{all the necessary estimates to homogenize} Xε , and finally we shall deduce that the estimates remain valid underPǫ_{thanks to (11). Once that} is done, we shall be in position to homogenize (1).

To fix the ideas and to see that the class of functionsV satisfying (8) (9) is not empty, we can choose V to be equal to

V(x₁, . . . ,x_d) =Ax₁+A(1+x₂2+_{· · ·}+x2_d)1/2+c, (12) for some renormalization constantcsuch thatR_¯

De

−2V(x)_{d x=1 and some positive constantA.} Notations for measures. In what follows, ¯Pǫ _{(resp. ¯}Pǫ∗_{) stands for the averaged (or annealed)} probability measureMR

¯

DP

ǫ

x(·)e−

2V(x)_{d x (resp. M}R

¯

DP

ǫ∗

x (·)e−

2V(x)_{d x), and ¯E}ǫ _{(resp. ¯E}ǫ∗_{) for the}

corresponding expectation. P∗

D andP∗∂D respectively denote the probability measure e−

2V(x)_{d x}

⊗dµ on ¯D×Ω and the finite measuree−2V(x)d x_⊗dµon∂D_×Ω. M∗

DandM∗∂Dstand for the respective expectations.

2.2

Invariant probability measure

As explained above, the main advantage of considering the processXε under the modified lawPǫ∗

x

is that we can find an IPM. More precisely Lemma 2.1. The process Xǫsatisfies: 1)For each function f _∈L1(D¯_×Ω;P∗

D)and t≥0:

¯

Eǫ∗[f(Xǫ_t,τ_Xǫ

t/ǫω)] =

M∗

D[f]. (13)

2) For each function f ∈L1(∂D×Ω;P∗

∂D)and t≥0:

¯ Eǫ∗

Z t

0

f(X_rǫ,τXǫ

r/ǫω)d K ǫ

r

=tM∗

∂D

f

. (14)

The first relation (13) results from the structure of_LVε (see (7)), which has been defined so as to makee−2V(x)d x invariant for the processXε. Once (13) established, (14) is derived from the fact thatKεis the density of occupation time of the processXεat the boundary∂D.

2.3

Ergodic problems

The next step is to determine the asymptotic behaviour asε→0 of the quantities

Z t

0

f(τXε

r/εω)d r and

Z t

0

f(τXε

r/εω)d K ε

r. (15)

The behaviour of each above quantity is related to the evolution of the processXεrespectively inside the domainDand near the boundary∂D. We shall see that both limits can be identified by solving ergodic problems associated to appropriate resolvent families. What concerns the first functional has already been investigated in the literature. The main novelty of the following section is the boundary ergodic problems associated to the second functional.

Ergodic problems associated to the diffusion process insideD

First we have to figure out what happens when the processXεevolves inside the domainD. In that case, the pushing of the local time in (1) vanishes. The processXεis thus driven by the same effects as in the stationary case (without reflection term). The ergodic properties of the process inside D are therefore the same as in the classical situation. So we just sum up the main results and give references for further details.

Notations: For p _∈ [1;_∞], Lp(Ω) denotes the standard space of p-th power integrable functions (essentially bounded functions ifp=_∞) on(Ω,_G,µ)and_{| · |p} the corresponding norm. Ifp=2, the associated inner product is denoted by (_·,·)₂. The space C_c∞(_D¯) (resp. C_c∞(D)) denotes the space of smooth functions on ¯Dwith compact support in ¯D(resp.D).

Standard background:The operators onL2(Ω)defined byT_xg(ω) =g(τxω)form a strongly

contin-uous group of unitary maps inL2(Ω). Let(e₁, . . . ,e_d)stand for the canonical basis ofRd_{. The group}

(Tx)x possesses d generators defined by Dig = limh∈R_→0h−1(Theig −g), for i = 1, . . . ,d, when-ever the limit exists in the L2(Ω)-sense. The operators(Di)i are closed and densely defined. Given

ϕ∈Tdi=1Dom(Di),Dϕ stands for the d-dimensional vector whose entries areDiϕ fori=1, . . . ,d.

We point out that we distinguishD_i from the usual differential operator∂_xi acting on differentiable functions f :Rd_→R_{(more generally, for k≥2,∂}k

xi1...xik denotes the iterated operator∂xi1. . .∂xik). However, it is straightforward to check that, whenever a functionϕ ∈Dom(D)possesses differen-tiable trajectories (i.e. µa.s. the mapping x _7→ϕ(τxω)is differentiable in the classical sense), we

haveDiϕ(τxω) =∂xiϕ(τxω).

We denote byC the dense subspace ofL2(Ω)defined by

C =Span¦g⋆ ϕ;g ∈L∞(Ω),ϕ∈C_c∞(Rd)© where g⋆ ϕ(ω) = Z

Rd

g(τxω)ϕ(x)d x (16)

Basically, _C stands for the space of smooth functions on the random medium. We have _{C ⊂} Dom(Di) and Di(g ⋆ ϕ) = −g ⋆ ∂xiϕ for all 1 ≤ i ≤ d. This quantity is also equal to Dig ⋆ ϕ if g ∈Dom(D_i).

We associate to the operator_Lǫ(Eq. (4)) an unbounded operator acting on_{C ⊂} L2(Ω)

L= 1

2Di ai jDj·

Following [6, Ch. 3, Sect 3.] (see also[19, Sect. 4]), we can consider its Friedrich extension, still denoted byL, which is a self-adjoint operator on L2(Ω). The domainH of the corresponding Dirichlet form can be described as the closure ofC with respect to the normkϕk2

H=|ϕ|

2

2+|Dϕ|22.

SinceLis self-adjoint, it also defines a resolvent family (U_λ)_λ>0. For each f _∈L2(Ω), the function wλ=Uλ(f)∈H∩Dom(L)equivalently solves theL2(Ω)-sense equation

λwλ−Lwλ= f (18)

or the weak formulation equation

∀ϕ∈H_{, λ}(wλ,ϕ)2+ (1/2) ai jDiwλ,Djϕ

2= (f,ϕ)2. (19)

Moreover, the resolvent operatorUλ satisfies the maximum principle:

Lemma 2.2. For any function f _∈L∞(Ω), the function U_λ(f)belongs to L∞(Ω)and satisfies |Uλ(f)|∞≤ |f|∞/λ.

The ergodic properties of the operatorLare summarized in the following proposition:

Proposition 2.3. Given f _∈L2(Ω), the solutionw_λof the resolvent equationλwλ−Lwλ= f (λ >0) satisfies

|λwλ−M[f]|2→0 asλ→0, and ∀λ >0, |λ1/2Dwλ|2≤Λ−1/2|f|2.

Boundary ergodic problems

Second, we have to figure out what happens when the process hits the boundary∂D. If we want to adapt the arguments in[22], it seems natural to look at the unbounded operator in random medium H_γ, whose construction is formally the following: givenω∈Ωand a smooth functionϕ∈ C, let us denote by ˜uω: ¯D→Rthe solution of the problem

¨

Lω˜uω(x) =0, x∈D, ˜

uω(x) =ϕ(τxω), x∈∂D.

(20) where the operatorLωis defined by

Lωf(x) = (1/2)ai j(τxω)∂x2ixjf(x) +bi(τxω)∂xif(x) (21) whenever f : ¯D_→Ris smooth enough, say f _∈C2(D¯). Then we define

H_γϕ(ω) =γi(ω)∂xi˜uω(0). (22) Remark. Chooseε=1in(1)and denote by(X1,K1)the solution of (1). The operator H_γ is actually the generator of theΩ-valued Markov process Z_t(ω) =τ_Yt(ω)ω, where Yt(ω) =X_K1−1_(t)and the function K−1 stands for the left inverse of K1: K−1(t) = inf_{s > 0;K_s1 _≥ t_}. The process Z describes the environment as seen from the particle whenever the process X1hits the boundary∂D.

The main difficulty lies in constructing a unique solution of Problem (20) with suitable growth and integrability properties because of the lack of compactness ofD. This point together with the lack of IPM are known as the major difficulties in homogenizing the Neumann problem in random media. We detail below the construction ofH_γ through its resolvent family. In spite of its technical aspect, this construction seems to be the right one because it exhibits a lack of stationarity along the e1

-direction, which is intrinsic to the problem due to the pushing of the local time Kε, and conserves the stationarity of the problem along all other directions.

First we give a few notations before tackling the construction ofH_γ. In what follows, the notation

(x1,y) stands for a d-dimensional vector, where the first component x1 belongs to R (eventually

R_{+ = [0;+∞)) and the second component y belongs to}Rd−1_{. To define an unbounded operator,} we first need to determine the space that it acts on. As explained above, that space must exhibit a a lack of stationarity along the e1-direction and stationarity along all other directions. So the

natural space to look at is the product spaceR_{+×Ω, denoted byΩ}+_{, equipped with the measure} dµ+ d e f= d x1⊗dµ where d x1 is the Lebesgue measure onR+. We can then consider the standard spacesLp(Ω+)forp∈[1;+_∞].

Our strategy is to define the Dirichlet form associated toHγ. To that purpose, we need to define a dense space of test functions onΩ+and a symmetric bilinear form acting on the test functions. It is natural to define the space of test functions by

C_(Ω+_{) =Span{ρ(x1)ϕ(ω);ρ∈C}∞

c ([0;+∞)),ϕ∈ C }.

Among the test functions we distinguish those that are vanishing on the boundary_{0_{} ×}ΩofΩ+

C_c(Ω+_{) =Span{ρ(x1)ϕ(ω);ρ∈C}∞

c ((0;+∞)),ϕ∈ C }.

Before tackling the construction of the symmetric bilinear form, we also need to introduce some elementary tools of differential calculus onΩ+. For anyg _∈C_(Ω+_{), we introduce a sort of gradient} ∂g ofg. Ifg ∈C(Ω+)takes on the formρ(x1)ϕ(ω)for some ρ∈Cc∞([0;+∞)) andϕ ∈ C, the

entries of∂g are given by

∂1g(x1,ω) =∂x1g(x1)ϕ(ω), and, fori=2, . . . ,d, ∂ig(x1,ω) =ρ(x1)Diϕ(ω). We define onC_(Ω+_{)the norm}

N(g)2=_|g(0,·)_|2₂+ Z

Ω+

|∂g|22dµ

+_{, (23)}

which is a sort of Sobolev norm onΩ+, andW1_{as the closure of}C_(Ω+_{)with respect to the normN} (W1 _{is thus an analog of Sobolev spaces on}Ω+). Obviously, the mapping

P:W1_∋g7→g(0,_·)_∈L2(Ω)

is continuous (with norm equal to 1) and stands, in a way, for the trace operator on Ω+. Equip the topological dual space(W1)′ of W1 _{with the dual normN}′_{. The adjoint P}∗ _{of P is given by} P∗:ϕ∈L2(Ω)_7→P∗(ϕ)_∈(W1₎′_{where the mappingP}∗_{(ϕ)exactly matches}

To sum up, we have constructed a space of test functionsC_(Ω+_{), which is dense in}W1_{for the norm} N, and a trace operator onW1.

We further stress that a function g _∈W1 _{satisfies∂g =0 if and only if we haveg(x1,ω) = f(ω)} onΩ+ for some function f ∈L2(Ω)invariant under the translations_{τx;x ∈ {0} ×Rd−1}. For that

reason, we introduce theσ-fieldG∗⊂ G generated by the subsets ofΩthat are invariant under the translations_{τx;x ∈ {0} ×Rd−1}, and the conditional expectationM1with respect toG∗.

We now focus on the construction of the symmetric bilinear form and the resolvent family associated toH_γ. For each random functionϕ defined onΩ, we associate a functionϕ+ defined onΩ+ by

∀(x₁,ω)_∈Ω+, ϕ+(x₁,ω) =ϕ(τx1ω).

Hence, we can associate to the random matrixa (defined in Section 1) the corresponding matrix-valued function a+ defined on Ω+. Then, for any λ > 0, we define on W1_×W1 _{the following} symmetric bilinear form

Bλ(g,h) =λ(Pg,Ph)2+

1 2

Z

Ω+

a+_{i j}∂ig∂jhdµ+. (24)

From (5), it is readily seen that it is continuous and coercive onW1_×W1_{. From the Lax-Milgram} theorem, it thus defines a continuous resolvent familyG_λ:(W1₎′_→W1_{such that:}

∀F_∈(W1₎′_{,∀g ∈}W1_{, Bλ(GλF,g) = (g,F). (25)} For eachλ >0, we then define the operator

Rλ: L2(Ω) → L2(Ω)

ϕ 7→ P GλP∗(ϕ)

. (26)

Givenϕ∈L2(Ω), we can plug F=P∗ϕinto (25) and we get

∀g ∈W1_{, Bλ}(GλP∗ϕ,g) = (g,P∗ϕ), (27) that is, by using (24):

∀g ∈W1_{, λ}(Rλϕ,Pg)2+

1 2

Z

Ω+

a+_{i j}∂i(GλP∗ϕ)∂jgdµ+= (g(0,·),ϕ)2, (28)

The following proposition summarizes the main properties of the operators(Rλ)λ>0, and in

partic-ular their ergodic properties:

Proposition 2.4. The family(Rλ)λis a strongly continuous resolvent family, and: 1) the operator Rλ is self-adjoint.

2) givenϕ∈L2(Ω)andλ >0, we have:

ϕ∈Ker(λRλ−I) ⇔ ϕ=M1[ϕ].

3) for each functionϕ∈L2(Ω),|λRλϕ−M1[ϕ]|2→0asλ→0.

Proposition 2.5. Given ϕ ∈ C, the trajectories of G_λP∗ϕ are smooth. More precisely, we can find N⊂Ωsatisfyingµ(N) =0and such that∀ω∈Ω_\N, the function

˜

uω:x = (x1,y)∈D¯7→GλP∗ϕ(x1,τ(0,y)ω) belongs to C∞(D¯). Furthermore, it is a classical solution to the problem:

¨

Lωu˜ω(x) =0, x ∈D,

λ˜uω(x)−γi(τxω)∂xiu˜ω(x) =ϕ(τxω), x ∈∂D.

(29)

In particular, the above proposition proves that(R_λ)_λ is the resolvent family associated to the oper-atorHγ. This family also satisfies the maximum principle:

Proposition 2.6. (Maximum principle). Givenϕ∈ C andλ >0, we have: |GλP∗ϕ|L∞_(Ω+₎≤λ−1|ϕ|_∞.

2.4

Ergodic theorems

As already explained, the ergodic problems that we have solved in the previous section lead to establishing ergodic theorems for the processXε. The strategy of the proof is the following. First we work under ¯Pǫ∗ _{to use the existence of the IPM (see Section 2.2). By adapting a classical scheme,} we derive from Propositions 2.3 and 2.4 ergodic theorems under ¯Pǫ∗_{both for the processX}ε_{and for} the local timeKε:

Theorem 2.7. For each function f _∈L1(Ω)and T >0, we have

lim ǫ→0

¯ Eǫ∗

h

sup

0≤t≤T

Z t

0

f(τXǫ

r/ǫω)d r−t

M_[f] i

=0. (30)

Theorem 2.8. If f _∈L2(Ω), the following convergence holds

lim ǫ→0

¯ Eǫ∗

h

sup

0≤t≤T

Z t

0

f(τXǫ

r/ǫω)d K ǫ

r −M1[f](ω)Ktǫ

i

=0. (31)

Finally we deduce that the above theorems remain valid under ¯Pǫ_{thanks to (11).}

Theorem 2.9. 1) Let (f_ǫ)ǫ be a family converging towards f in L1(Ω). For each fixed δ > 0 and T>0, the following convergence holds

lim ǫ→0

¯ Pǫ

h

sup

0≤t≤T|

Z t

0

f_ǫ(τXǫ

r/ǫω)d r−t

M_{[f]| ≥δ}

i

=0. (32)

2) Let(f_ǫ)ǫbe a family converging towards f in L2(Ω). For each fixedδ >0and T >0, the following convergence holds

lim ǫ→0

¯ Pǫ

h

sup

0≤t≤T

Z t

0

f_ǫ(τXǫ

r/ǫω)d K ǫ

r −M1[f]Ktǫ

≥δ

i

2.5

Construction of the correctors

Even though we have established ergodic theorems, this is not enough to find the limit of equation (1) because of the highly oscillating termǫ−1_b(τ

Xǫ_t/ǫω)d t. To get rid of this term, the ideal situation is to find a stationary solutionui:Ω_→R_{to the equation}

−Lui =b_i. (34)

Then, by applying the Itô formula to the function ui, it is readily seen that the contribution of the termǫ−1b_i(τXǫ

t/ǫω)d t formally reduces to a stochastic integral and a functional of the local time, the limits of which can be handled with the ergodic theorems 2.9.

Due to the lack of compactness of a random medium, finding a stationary solution to (34) is rather tricky. As already suggested in the literature, a good approach is to add some coercivity to the problem (34) and define, fori=1, . . . ,d andλ >0, the solutionui_λof the resolvent equation

λui_λ−Lui_λ=bi. (35)

If we letλgo to 0 in of (35), the solution u_λi should provide a good approximation of the solution of (34). Actually, it is hopeless to prove the convergence of the family(ui_λ)_λ in some Lp(Ω)-space because, in great generality, there is no stationary Lp(Ω)-solution to (34). However we can prove the convergence towards 0 of the termλu_λi and the convergence of the gradientsDui_λ:

Proposition 2.10. There existsζi∈(L2(Ω))d such that λ|ui_λ|22+|Du

i

λ−ζ

i

|2→0, asλ→0. (36)

As we shall see in Section 2.6, the above convergence is enough to carry out the homogenization procedure. The functions ζi (i _≤ d) are involved in the expression of the coefficients of the ho-mogenized equation (6). For that reason, we give some further qualitative description of these coefficients:

Proposition 2.11. Define the random matrix-valued function ζ ∈ L2(Ω;Rd×d_{) by its entries ζ}

i j =

ζ_ij=lim_λ→0Diu j

λ. Define the matrixA and the d-dimensional vector¯ Γ¯ by ¯

A=M_[(I+ζ∗_{)a(I+ζ)], which also matches}M_[(I+ζ∗_{)a], (37)} ¯

Γ =M[(I+ζ∗)γ]_∈Rd, (38)

whereIdenotes the d-dimensional identity matrix. ThenA obeys the variational formula:¯ ∀X _∈Rd_{, X}∗_AX¯ _{= inf}

ϕ∈C

M_[(X+Dϕ)∗_{a(X+Dϕ)]. (39)}

Moreover, we haveA¯_≥ΛI(in the sense of symmetric nonnegative matrices) and the first componentΓ¯₁

ofΓ¯satisfiesΓ¯_1≥Λ. Finally,Γ¯coincides with the orthogonal projectionM_1[(I+ζ∗_)γ].

In particular, we have established that the limiting equation (6) is not degenerate, namely that the diffusion coefficient ¯Ais invertible and that the pushing of the reflection term ¯Γalong the normal to ∂Ddoes not vanish.

2.6

Homogenization

Homogenizing (1) consists in proving that the couple of processes(Xε,Kε)_εconverges asε→0 (in the sense of Theorem 1.2) towards the couple of processes(_X¯_{, ¯K})solution of the RSDE (6). We also remind the reader that, for the time being, we work with the functionχ(x) =e−2V(x). We shall see thereafter how the general case follows.

First we show that the family (Xε,Kε)_ε is compact in some appropriate topological space. Let us introduce the space D([0,T];R₊)of nonnegative right-continuous functions with left limits on

[0,T] equipped with the S-topology of Jakubowski (see Appendix F). The space C([0,T]; ¯D) is equipped with the sup-norm topology. We have:

Proposition 2.12. Under the lawP¯ǫ_{, the family of processes(X}ǫ_{)ǫ is tight in C([0,T]; ¯D) equipped} with the sup-norm topology, and the family of processes(Kǫ)_ǫ is tight in D([0,T];R₊)equipped with the S-topology.

The main idea of the above result is originally due to Varadhan and is exposed in[15, Chap. 3]

for stationary diffusions in random media. Roughly speaking, it combines exponential estimates for processes symmetric with respect to their IPM and the Garsia-Rodemich-Rumsey inequality. In our context, the pushing of the local time rises some further technical difficulties when the processXε evolves near the boundary. Briefly, our strategy to prove Proposition 2.12 consists in applying the method[15, Chap. 3]when the processXεevolves far from the boundary, say not closer to∂Dthan a fixed distanceθ, to obtain a first class of tightness estimates. Obviously, these estimates depend onθ. That dependence takes place in a penalty term related to the constraint of evolving far from the boundary. Then we letθ go to 0. The limit of the penalty term can be expressed in terms of the local time Kε in such a way that we get tightness estimates for the whole process Xε (wherever it evolves). Details are set out in section G.

It then remains to identify each possible weak limit of the family (Xε,Kε)_ε. To that purpose, we introduce the corrector uλ ∈ L2(Ω;Rd), the entries of which are given, for j = 1, . . . ,d, by the solutionu_λj to the resolvent equation

λu_λj −Lu_λj =bj.

Let ζ ∈ L2(Ω;Rd×d_{) be defined by ζ}

i j = limλ→0Diu j

λ (see Proposition 2.10). As explained in Section 2.5, the functionu_λ is used to get rid of the highly oscillating termǫ−1b(τXǫ

t/ǫω)d tin (1) by applying the Itô formula. Indeed, sinceµ-almost surely the function φ:x 7→uλ(τxω)satisfies

λφ−Lωφ= b(τ_·ω)on Rd_{, the function x 7→uλ(τxω) is smooth (see[7, Th. 6.17]) and we can} apply the Itô formula to the functionx _7→εuλ(τx/εω). We obtain

ǫdu_λ(τXǫ t/ǫω) =

1

εLuλ(τXǫt/ǫω)d t+Du

∗

λγ(τXǫ

t/ǫω)d K ǫ

t +Du∗λσ(τXǫ

t/ǫω)d Bt

=1

ε(λuλ−b)(τXtǫ/ǫω)d t+Du

∗

λγ(τXǫ

t/ǫω)d K ǫ

t +Du∗λσ(τXǫ

By summing the relations (40) and (1) and by settingλ=ε2, we deduce:

X_tǫ=x−ǫ uǫ2(τ_Xǫ

t/ǫω)−uǫ2(τX0ǫ/ǫω)

+ε

Z t

0

uǫ2(τ_Xǫ

r/ǫω)d r (41)

+ Z t

0

(I+Du∗_ǫ2)γ(τXǫ

r/ǫω)d K ǫ

r+

Z t

0

(I+Du∗_ǫ2)σ(τXǫ

r/ǫω)d Br. ≡x₋G1,_t ǫ+G_t2,ǫ+G3,_t ǫ+M_tǫ.

So we make the termǫ−1b(τXǫ

t/ǫω)d t disappear at the price of modifying the stochastic integral and the integral with respect to the local time. By using Theorem 2.9, we should be able to identify their respective limits. The corrective terms G1,ǫ andG2,ǫ should reduce to 0 asε→0. This is the purpose of the following proposition:

Proposition 2.13. For each subsequence of the family (Xǫ,Kǫ)_ǫ, we can extract a subsequence (still indexed withǫ >0) such that:

1) underP¯ǫ_{, the family of processes(X}ǫ_,Mǫ_,Kǫ_{)ǫ converges in law in C([0,T]; ¯D)×C([0,T];}Rd_)× D([0,T];R₊)towards(X¯, ¯M, ¯K), whereM is a centered d-dimensional Brownian motion with covari-¯ ance

¯

A=M_[(I+ζ∗_)a(I+ζ)] andK is a right-continuous increasing process.¯

2) the finite-dimensional distributions of the families(G1,_tǫ)ǫ, (G2,tǫ)ǫ and (G3,ǫ−Γ¯Kǫ)ǫ converge to-wards0inP¯ǫ-probability, that is for each t_∈[0,T]

∀δ >0, lim ǫ→0

¯ Pǫ

|Gi_t,ǫ|> δ=0 (i=1, 2), lim ǫ→0

¯ Pǫ

|G3,_tǫ−Γ¯K_tǫ|> δ=0.

Proof. 1) The tightness of (Xǫ,Kǫ) results from Proposition 2.12. To prove the tightness of the martingales(Mǫ)ǫ, it suffices to prove the tightness of the brackets(<Mǫ>)ǫ, which are given by

<Mǫ>t=

Z t

0

(I+Du∗_ǫ2)a(I+Duǫ2)(τ_Xǫ

r/ǫω)d r.

Proposition 2.10 and Theorem 2.9 lead to < Mǫ >t→At¯ in probability in C([0,T];Rd×d) where

¯

A= M(I+ζ∗)a(I+ζ)

. The martingales(Mǫ)_ǫ thus converge in law inC([0,T];Rd)towards a centered Brownian motion with covariance matrix ¯A(see[8]).

2) Let us investigate the convergence of (Gi,ǫ)ǫ (i = 1, 2). From the Cauchy-Schwarz inequality, Lemma 2.1 and (36), we deduce:

lim ǫ→0

¯ Eǫ∗

h

|ǫuǫ2(τ_Xǫ t/ǫω)|

2₊

|

Z t

0

ǫuǫ2(τ_Xǫ

r/ǫω)d r|

2i

≤(1+t)lim ǫ→0(ǫ

2

|uǫ2|2₂) =0.

We conclude with the help of (11).

Finally we prove the convergence of (G3,ǫ)ǫ with the help of Theorem 2.9. Indeed, Proposition 2.10 ensures the convergence of the family ((I+Du∗

ǫ2)γ)ε towards (I+ζ∗)γ in L2(Ω) as ε → 0. Furthermore we know from Proposition 2.11 that ¯Γ =M₁[(I+ζ∗)γ]. The convergence follows.

Since the convergence of each term in (41) is now established, it remains to identify the limiting equation. From Theorem F.2, we can find a countable subset _{S ⊂} [0,T[ such that the finite-dimensional distributions of the process(Xǫ,Mǫ,Kǫ)_ǫconverge along[0,T]_{\ S}. So we can pass to the limit in (41) alongs,t_∈[0,T]_{\ S} (s<t), and this leads to

¯

X_t=X¯_s+A¯1/2(B¯_t−B¯_s) +Γ(¯ K¯_t−K¯_s). (42) Since (42) is valid for s,t ∈ [0,T]_{\ S} (note that this set is dense and contains T) and since the processes are at least right continuous, (42) remains valid on the whole interval [0,T]. As a by-product, ¯K is continuous and the convergence of (Xǫ,Mǫ,Kǫ)_ǫ actually holds in the space C([0,T]; ¯D)_×C([0,T];Rd)_×C([0,T];R₊)(see Lemma F.3).

It remains to prove that ¯Kis associated to ¯X in the sense of the Skorohod problem, that is to establish that_{Points of increase of ¯K_{} ⊂ {}t; ¯X1_t =0_}orRT

0 X¯ 1

rdK¯r=0. This results from the fact that∀ǫ >0

RT

0 X 1,ǫ

r d K

ǫ

r =0 and Lemma F.4. Since uniqueness in law holds for the solution(X¯, ¯K) of Equation

(42) (see[23]), we have proved that each converging subsequence of the family(Xǫ,Kǫ)_ǫconverges in law inC([0,T]; ¯D×R₊)asǫ→0 towards the same limit (the unique solution(X¯, ¯K)of (6)). As a consequence, under ¯Pǫ_{, the whole sequence}(Xǫ,Kǫ)_ǫconverges in law towards the couple(_X¯_{, ¯K})

solution of (6).

Replication method

Let us use the shorthands CD and C+ to denote the spaces C([0,T], ¯D) andC([0,T],R+) respec-tively. Let ¯E _{denote the expectation with respect to the law ¯}P _{of the process} (_X¯_{, ¯K}) solving the RSDE (6) with initial distribution ¯P_(X¯_{0∈d x) =e}−2V(x)_{d x. From[23], the law ¯}P_{coincides with the} averaged lawR_¯

DP¯x(·)e

−2V(x)_{d x where ¯P}

x denotes the law of(X¯, ¯K)solving (42) and starting from

x ∈_D.¯

We sum up the results obtained previously. We have proved the convergence, as ǫ → 0, of ¯

Eǫ_[F(Xǫ_,Kǫ_{)]towards ¯}E_[F(X¯_{, ¯K)], for each continuous bounded function F : CD×C+ →}R_{. This} convergence result is often called annealed because ¯Eǫ _{is the averaging of the law}Pε

x with respect

to the probability measureP∗

D.

In the classical framework of Brownian motion driven SDE in random media (i.e. without reflection term in (1)), it is plain to see that the annealed convergence of Xǫ towards a Brownian motion implies that, inP∗

D-probability, the lawP

ǫ

x ofX

ǫ _{converges towards that of a Brownian motion. To} put it simply, we can drop the averaging with respect toP∗

Dto obtain a convergence in probability,

which is a stronger result. Indeed, the convergence in law towards 0 of the correctors (by analogy, the terms G1,ǫ,G2,ǫ in (41)) implies their convergence in probability towards 0. Moreover the convergence inP∗

D-probability of the law of the martingale term M

ǫ_{in (41) is obvious since we can} apply[8]forP∗

D-almost every(x,ω)∈D¯×Ω.

In our case, the additional termG3,ǫ puts an end to that simplicity: this term converges, under the annealed law ¯Pǫ_{, towards a random variable ¯}Γ_{K, but there is no obvious way to switch annealed}¯ convergence for convergence in probability. That is the purpose of the computations below.

Remark and open problem. The above remark also raises the open problem of proving a so-called quenched homogenization result, that is to prove the convergence of Xε towards a reflected Brownian motion for almost every realizationωof the environment and every starting point x ∈_{D. The same}¯

Definition F.1. A sequence(x_n)_n in D([0,T];R_{)converges to x0∈D([0,T];}R_{)if for everyǫ >0, one}

can find elements(v_n,ǫ)_n∈N⊂Vsuch that

1) for every n_∈N_{, sup[0,T]|xn−vn,ǫ| ≤ǫ,}

2)∀f :[0,T]_→R_continuous, RT

0 f(r)d vn,ǫ(r)→

RT

0 f(r)d v0,ǫ(r)as n→+∞.

By gathering[10, Th. 3.8]and[10, Th. 3.10], one can state:

Theorem F.2. Let(V_α)_α⊂D([0,T];R)be a family of nondecreasing stochastic processes. Suppose that the family(V_α(T))_α is tight. Then the family(V_α)_α is tight for the J-topology. Moreover, there exists a sequence(V_n)_n⊂(V_α)_α, a nondecreasing right-continuous process V0and a countable subset C⊂[0,T[

such that for all finite sequence(t₁, . . . ,t_p)_⊂[0,T]_\C, the family(V_n(t1), . . . ,Vn(tp))n converges in law towards(V₀(t₁), . . . ,V₀(t_p))_n.

Equip the set V+

c([0,T];R) of continuous nondecreasing functions on [0,T] with the S-topology andC([0,T];R)with the sup-norm topology. We claim:

Lemma F.3. Let(V_n)_nbe a sequence inV+

c converging for the S-topology towards V0∈V+c. Then(Vn)n converges towards V₀for the sup-norm topology.

Proof. This results from Corollary 2.9 in[10]and the Dini theorem. Lemma F.4. The following mapping is continuous

(x,v)_∈C([0,T];R)_×V+

c([0,T];R)7→ Z ·

0

xrd v(r)∈C([0,T];R).

Proof.This results from Lemma F.3 and the continuity of the mapping (x,v)_∈C([0,T];R_)×V+

c([0,T];R)7→ Z ·

0

x_rd v(r)_∈C([0,T];R_),

where bothC([0,T];R) andV+

c([0,T];R)are equipped with the sup-norm topology. The reader may find a proof of the continuity of the above mapping in the proof of Lemma 3.3 in[16](remark that, in[16], the S-topology is coarser onC([0,T];R_{)than the sup-norm topology).}

G

Proof of the tightness (Proposition 2.12)

We now investigate the tightness of the processXǫ(andKǫ). Roughly speaking, our proof is inspired by[15, Chap. 3]and is based on the Garsia-Rodemich-Rumsey inequality:

Proposition G.1. (Garsia-Rodemich-Rumsey’s inequality). Let p andΨbe strictly increasing con-tinuous functions on[0,+_∞[ satisfying p(0) = Ψ(0) =0andlim_t→∞Ψ(t) = +_∞. For given T >0 and f _∈C([0,T];Rd_{), suppose that there exists a finite B such that;}

Z T

0

Z T

0

Ψ|g(t)−g(s)| p(_|t₋s_|)

ds d t_≤B<∞. (65)

To apply Proposition G.1, it is necessary to establish exponential bounds for the drift ofXε. Indeed, suppose that we can prove the following exponential bound: for every 0_≤s,t≤T

¯

Eǫ∗

h exp κ Z t s 1

ǫbj−∂xiV(X

ǫ

r)ai j

(τXǫ

r/ǫω)]d r+ Z t

s

a1j(τXǫ

r/ǫω)d K

ǫ

r

i

≤2 exp Cκ2(t₋s) . (66) for some constantC >0 depending only onΛ(defined in (5)). Then we can apply Proposition G.1 as detailed in[15, Ch. 3, Th 3.5](setp(t) =pt,ψ(t) =et−1 andψ−1_{(t) =ln(t+1)in Proposition}

G.1) to obtain

Proposition G.2. We have the following estimate of the modulus of continuity ¯

Eǫ∗

sup |t−s|≤δ;0≤s,t≤T

Z t s

1

ǫbj−∂xiV(X

ǫ

r)ai j

(τXǫ

r/ǫω)]d r+ Z t

s

a_1j(τXǫ

r/ǫω)d K

ǫ

r

≤Cpδln(δ−1), (67) for some constant C that only depends on T,Λ.

We easily deduce the proof of Proposition 2.12: we first work under ¯Pε∗_{. Let us investigate the}

tightness ofXǫ. Observe that X_tj,ǫ=x_j+

Z t

0

1

ǫbj(τXǫr/ǫω)−∂xiV(X

ǫ

r)ai j(τXǫ r/ǫω)

d r+

Z t

0

a_1j(τXǫ

r/ǫω)d K

ǫ

r+ Z t

0

σji(τXǫ

r/ǫω)d B ∗i r . The tightness of the martingale part follows from the boundedness of σ and the Kolmogorov cri-terion. The tightness of the remaining terms results from Proposition G.2. So Xε is tight under ¯

Pε∗_.

Let us now investigate the tightness of the family (Kǫ)_ǫ. From Lemma 2.1, we have ¯Eǫ∗[K_Tǫ] = TR

∂De

−2V(x)_{d x. Theorem F.2 ensures that (K}ǫ₎

ǫ is tight in D([0,T];R+) (remind that Kǫ is in-creasing).

To sum up, under ¯Pε∗, the family(Xǫ,Kǫ)_ǫis tight inC([0,T]; ¯D)_×D([0,T];R₊)equipped with the product topology. From (11), the family is tight inC([0,T]; ¯D)_×D([0,T];R₊)under ¯Pε_.

We have thus shown that the proof of Proposition (2.12) boils down to establishing (66). So we now focus on the proof of (66). We want to adapt the arguments of[15, Chap. 3]. However, the situation is more complicated due to the pushing of the local time whenXε is located on the boundary∂D. Our idea is to eliminate the boundary effects by considering first a truncated drift vanishing near the boundary: fixω∈Ωand a smooth function ρ∈C∞_b (D)¯ satisfyingρ(x) =0 whenever x_{1 ≤}θ for someθ >0. For anyǫ >0 and j=1, . . . ,d, define the "truncated" drift

bǫ_ρ,j(x,ω) = e

2V(x) 2 ∂xi e

−2V(x)_a

i j(τx/ǫω)ρ(x)

, (68)

which belongs to C_b∞(D)¯ . Our strategy is the following: we derive exponential bounds for the process R₀tbǫ_ρ,j(X_rǫ,ω)d r. These estimates will depend on ρ. Then we shall prove that we can choose an appropriate sequence(ρn)n ⊂ C_b∞(D)¯ preserving the exponential bounds and such that the sequence R₀tbǫ_ρ

n,j(X

ǫ

r,ω)d r

The exponential bounds are derived from a proper spectral gap of the operator_LVǫ_·+κb_ρ,ǫ _j· with boundary conditionγ_i(τx/ǫω)∂xi·=0 on ∂D. The particular truncation we choose in (68) is fun-damental to establish such a spectral gap because it preserves the "divergence structure" of the problem. Any other (and maybe more natural) truncation fails to have satisfactory spectral proper-ties.

So we define the set

C_γ2,ǫ=_{f ∈C_b2(D)¯ ;γi(τx/ǫω)∂xif(x) =0 forx∈∂D} and consider the Hilbert space L2(_D¯_;e−2V(x)_{d x)equipped with its norm}

| · |Dand its inner product (_·,_·)_D. Givenκ >0 andω∈Ω, letψ_ωǫ,κ∈C∞([0,T]_×D)¯ _∩C_b1,2be the unique solution of

∂tψǫ,κω =L ǫ

Vψ

ǫ,κ

ω +κb

ǫ ρ,j(ψ

ǫ,κ

ω +1) on[0,T]×D, γi(τ·/ǫω)∂xiψ

ǫ,κ

ω =0 on[0,T]×∂D

with initial conditionψǫ,κ_ω (0,_·) =0 on ¯D(see Lemma A.1). Thenuǫ,κ_ω =ψǫ,κ_ω +1_∈C_b1,2is a bounded classical solution of the problem

∂tuǫ,κω =L ǫ

Vu

ǫ,κ

ω +κb

ǫ ρ,ju

ǫ,κ

ω on[0,T]×D, γi(τ·/ǫω

∂xiu

ǫ,κ

ω =0 on[0,T]×∂D, (69)

with initial conditionuǫ,κ_ω (0,·) =1 on ¯D. Lemma A.2 and a straightforward calculation provide the probabilistic representation

uǫ,κ_ω (t,x) =Eǫ∗

x hZ t

0

κb_ρ,ǫ _j(Xǫ_r,ω)exp Z r

0

κb_ρ,ǫ _j(X_uǫ,ω)du d r

i +1

=Eǫ∗

x h

exp κ Z t

0

b_ρ,ǫ _j(Xǫ_r,ω)d ri . Lemma G.3. For eachω∈Ω, we have the estimate_|uǫ,κ_ω (t,·)_|2

D≤e2t

πǫ,κ

ω (₀≤ _t ≤ _T), whereπǫ,κ

ω =

sup(φ,LVǫφ+κb

ǫ

ρ,jφ)Dand thesupis taken over{φ∈Cγ2,ǫ,|φ|2D=1}. Proof.We have:

∂t|uǫ,κω (t,·)| 2

D=2(u

ǫ,κ

ω ,∂tuǫ,κω (t,·))D

=2(uǫ,κ_ω ,_LVǫuǫ,κ_ω +κb_ρ,ǫ _juǫ,κ_ω (t,_·))_D≤2πǫ,κ_ω |uǫ,κ_ω (t,_·)_|2_D. Since_|uǫ,κ_ω (0,_·)_|2_D=1, we complete the proof with the Gronwall lemma.

Proposition G.4. For anyκ >0,ǫ >0and0_≤s,t_≤T ¯

Eǫ∗exp κ Z t

s

b_ρ,ǫ _j(Xǫ_r,ω)d r

≤2 exp Cκ2(t−s) , for some constant C that only depends onΛandsup_x∈¯D|ρ(x)|.

Proof.By stationarity (resulting from Lemma 2.1) and Lemma G.3, we have ¯

Eǫ∗_{exp κ}

Z t s

bǫ_ρ,j(Xǫ_r,ω)d r

≤E¯ǫ∗_{exp κ}

Z t−s

0

bǫ_ρ,j(X_rǫ,ω)d r =M∗

D[u

ǫ,κ

ω (t−s,x)]≤M|u ǫ,κ

ω (t−s,·)|D≤M[exp((t−s)π ǫ,κ

It remains to estimateπǫ,κ_ω . For any functionφ∈C_γ2,ǫsuch that_|φ|2D=1, we have (bǫ_ρ,j(_·,ω),φ2)_D=₋(ai j(τ·/ǫω)ρφ,∂xiφ)D≤Λ

−1_sup

x∈D¯

|ρ(x)_||∂xφ|D=C|∂xφ|D

where we have setC = Λ−1_sup

x∈D¯|ρ(x)|. As a consequence (the sup below are taken over{φ ∈

C_γ2,ǫ,_|φ|2D=1})

πǫ,κ_ω =sup(φ,LVǫφ+κb

ǫ ρ,jφ)D ≤sup

−(1/2)(a_{i j}(τ_·/ǫω)∂xiφ,∂xjφ)D+κ(b

ǫ

ρ,j(·,ω),φ

2₎

D ≤sup

−(Λ/2)_|∂xφ|2D+κC|∂xφ|D ≤κ2C2/(2Λ). (71) The last inequality is obtained by optimizing the expression ₋(Λ/2)x2+κC x with respect to the parameterx _∈R. Gathering (70) and (71) then yields

¯

Eǫ∗_{exp κ}

Z t s

b_ρ,ǫ _j(X_rǫ,ω)d r

≤exp C′κ2(t₋s)

whereC′=sup_x∈D¯|ρ(x)|2/(2Λ3). We complete the proof by repeating the argument for−bǫρ,jand using the inequality exp(_|x_|)_≤exp(₋x) +exp(x).

As explained above, we can replace ρ in Proposition G.4 with an appropriate sequence (ρn)n ⊂ C∞_b (D)¯ so as to make the sequence R₀tbǫ_ρ

n,j(X

ǫ

r,ω)d r

nconverging asn→ ∞towards the process involved in (66). Let us construct such a sequence. For eachn_∈N∗_{, let us consider the piecewise}

affine functionρn: ¯D→Rdefined by:

ρn(x) =0 ifx1≤

1

n, ρn(x) =n(x1− 1 n) if

1

n≤x1≤ 2

n, and 1 otherwise.

Note thatρn is continuous and supx∈D¯|ρn(x)| ≤1. With the help of a regularization procedure and Lemma 2.1, one can prove that Proposition G.4 remains valid forρn instead ofρ, where

Z t

0

bǫ_ρ n,j(X

ǫ

r,ω)d r= Z t

0

1

ǫbj(τXǫr/ǫω)−∂xiV(X

ǫ

r)ai j(τXǫ r/ǫω)

ρn(Xrǫ)d r

+ Z t

0

ai j(τXǫ

r/ǫω)n1I[1_n;2_n](X

ǫ

r)d r.

(72)

You can obtain the latter expression by expanding (68) with respect to the operator∂xi. Since sup_x∈¯_D|ρn(x)|=1 for eachn, we deduce

∀n∈N_{,∀0≤s,t≤T,} E¯ǫ∗_exp κ Z t

s bǫ_ρ

n,j(X

ǫ

r,ω)d r

≤2 exp Cκ2(t₋s)

(73) for some constant C only depending on Λ. Now it remains to pass to the limit as n _{→ ∞} in (73). Since Kǫ is the density of occupation time of the process Xǫ at ∂D, the quantity Rt

0ai j(τXǫr/ǫω)n1I[1_n;2_n](X

ǫ

r)d rconverges a.s. towards Rt

0a1j(τXǫr/ǫω)d K

ǫ

r asn→ ∞. Fatou’s Lemma (asn→+_∞) in (73) then yields (66). So we complete the proof.

Acknowledgements

The author wishes to thank G. Barles, P.L. Lions, S.Olla and T. Souganidis for interesting discussions that led to the final version of the mansucript, and V. Vargas who suggested the use of replication methods.

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