Semimartingales on rays, Walsh diffusions, and related problems of control and stopping

DOI10.1016/J.SPA.2018.06.012zbMath1478.60165arXiv1603.03124OpenAlexW2963113713WikidataQ129564323 ScholiaQ129564323MaRDI QIDQ2000135

Minghan Yan, Ioannis Karatzas

Publication date: 28 June 2019

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1603.03124

zbMATH Keywords

optimal stoppingstochastic controlstochastic calculuslocal timeSkorokhod reflectionFeller's testexplosion timessemimartingales on raystree-topologyWalsh semimartingales and diffusions

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Sample path properties (60G17) Stochastic integrals (60H05)

Related Items (5)

First hitting time of Brownian motion on simple graph with skew semiaxes ⋮ Limit behaviour of random walks on ℤ^mwith two-sided membrane ⋮ Diffusion spiders: Green kernel, excessive functions and optimal stopping ⋮ Embedding of Walsh Brownian motion ⋮ Stationary distributions and convergence for Walsh diffusions

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