Gradient walk and $p$-harmonic functions

We consider a class of stochastic processes and establish its connection to $p$-harmonic functions. In particular, we obtain stochastic approximations that converge uniformly to a $p$-harmonic function, with an explicit convergence rate, and also obtain a precise diffusion representation in continuous time. The main difficulty is how to deal with the zero set of the gradient of the underlying function.

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