Stochastic integral equations for Walsh semimartingales

DOI10.1214/16-AIHP819zbMath1391.60090arXiv1505.02504OpenAlexW2963983928MaRDI QIDQ1650115

Tomoyuki Ichiba, Ioannis Karatzas, Minghan Yan, Vilmos Prokaj

Publication date: 29 June 2018

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1505.02504

zbMATH Keywords

local timemartingale problemsSkorokhod reflectionFreidlin-Sheu formulaHarrison-Shepp equationsplanar skew unfoldingskew Brownian motionsspider semimartingalesWalsh Brownian motionsWalsh semimartingales

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (9)

Degenerate competing three-particle systems ⋮ Construction of operational matrices based on linear cardinal B-spline functions for solving fractional stochastic integro-differential equation ⋮ Extensions of Brownian motion to a family of Grushin-type singularities ⋮ Isomorphism theorems, extended Markov processes and random interlacements ⋮ Serve the shortest queue and Walsh Brownian motion ⋮ Semimartingales on rays, Walsh diffusions, and related problems of control and stopping ⋮ Embedding of Walsh Brownian motion ⋮ Some percolations involving the Gaussian free fields ⋮ Stationary distributions and convergence for Walsh diffusions

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