Diffusion spiders: Green kernel, excessive functions and optimal stopping

DOI10.1016/J.SPA.2023.104229MaRDI QIDQ6186387zbMATH OpenOpenAlexFDO

Authors Jukka Lempa, Ernesto Mordecki, Paavo Salminen

Publication date 9 January 2024

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

Full work available at URL https://arxiv.org/abs/2209.11491

zbMATH Keywords

excursion entrance lawharmonic functionhitting timeRiesz representationskew Brownian motionstopping region

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Transition functions, generators and resolvents (60J35) Diffusion processes (60J60) Brownian motion (60J65)

Abstract: A diffusion spider is a strong Markov process with continuous paths taking values on a graph with one vertex and a finite number of edges (of infinite length). An example is Walsh's Brownian spider where the process on each edge behaves as Brownian motion. We calculate the density of the resolvent kernel in terms of the characteristics of the underlying diffusion. Excessive functions are studied via the Martin boundary theory. The main result is an explicit expression for the representing measure of a given excessive function. These results are used to solve optimal stopping problems for diffusion spiders.

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Cited in

(1)

• On the Diameter of the Stopped Spider Process

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