Stochastic calculus and martingales on trees (Q2485741)

Considering trees as simple examples of singular metric spaces, the author works out a stochastic calculus for tree-valued processes. In a large part of the paper he focuses on a toy example of tree, namely \(\mathcal{Y}^l\) with \(l\) rays \(R_i\) and a common origin \(\mathcal{O}\). He begins with some geometric preliminaries such as the construction and properties of barycentres. Then a stochastic calculus in \(N=\mathcal{Y}^l\) (involving semimartingales) is worked out. A notion of continuous martingale is defined and quasimartingales are also introduced. The existence of a martingale with prescribed final value is proved either from the coupling properties of diffusion \(X\) or by energy minimization (when \(X_t\) is a symmetric diffusion). Then the techniques are extended to a more general class of trees. In order to apply these results, the author gives examples of trees \(M\) and of diffusion on them satisfying the coupling property. For instance, if \(M\) is itself a star, then the Walsh process satisfies it. Some other examples such as the Evans process and the Brownian snake are considered. Finally, a notion of martingale with jumps is defined, and the above theory is extended to this case.