TITLE: Brownian motion on Metric spaces
QUESTION [7 upvotes]: Is there a generalization of Brownian motion to general metric spaces (which should probably be length spaces)?
This should be a process satisfying
$$d(B_t, B_s) \sim \mathcal{N}(0, t-s)$$
and such that $d(B_t, B_s)$ and $d(B_s, B_r)$ are independent; however, this will be not enough in general (this not even defines Brownian motion on $\mathbb{R}^n$).
\Edit: 1) It was pointed out by Did in the comments that $d(B_t, B_s)$ is not normal distributed even in $\mathbb{R}^n$. So this requirement should be different.
2) I wanted to know, if it is possible to define Brownian motion on general metric spaces and if there is some widely accepted definition. Benoît Kloeckner suggested below that one defines the process $B^\varepsilon_{\tau_j}$ for some subdivision $\tau$ of $[0, \infty)$, by jumping uniformly in a ball of radius $\varepsilon$. Then take the limit $\varepsilon \longrightarrow 0$ by simultaneously refining the subdivision in an appropriate way.
To me, this seems reasonable and probably is the answer that I was looking for. However, there is no answer, so I cannot accept.
However, he claimed that one should be more precise about the type of metric space. To me, this sounded like there may be other definitions that give different results. It would be interesting to learn about this.

REPLY [6 votes]: The correct point of view on Brownian motion that generalizes on metric spaces is to see the Brownian motion as the Hunt process in $\mathbb{R}^n$ generated by the Dirichlet form $\int \| \nabla f \|^2 (x) dx$. In a similar way, the Brownian motion on a Riemannian manifold $\mathbb{M}$ is  the Hunt process in $\mathbb{R}^n$ generated by the Dirichlet form $\int_{\mathbb{M}} \| \nabla f \|^2 (x) dx$. More generally, once we have a "natural and nice" Dirichlet form on a metric space, one can construct an associated continuous Markov process. You will find some details and relevant references in the paper by Sturm about diffusion processes on metric measure spaces
https://projecteuclid.org/euclid.aop/1022855410
If you use this construction on fractals for instance, you will get the Brownian motion on the fractal, which is a very fun object to study. You can for instance have a look into the short survey by Kumagai
http://www.proba.jussieu.fr/bulletin/Bmfrac.pdf
and the references therein.