Functional limit theorems for perturbed random walks

Abstract

We consider scaling limits of integer-valued random walks whose transition probabilities are translation-invariant everywhere except on a set that we will call a membrane or an interface. If the jumps outside the membrane are i.i.d. mean-zero random variables with finite variance, then possible examples of the corresponding limit processes include reflected Brownian motion, skew Brownian motion, and Brownian motion with a jump-type exit from zero. We also discuss the question of what the possible limits are if the jumps outside the membrane belong to the domain of attraction of a stable law.