Diffusion spiders: Green kernel, excessive functions and optimal stopping (Q6186387)
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scientific article; zbMATH DE number 7785661
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English | Diffusion spiders: Green kernel, excessive functions and optimal stopping |
scientific article; zbMATH DE number 7785661 |
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Diffusion spiders: Green kernel, excessive functions and optimal stopping (English)
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9 January 2024
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In this paper, the authors derive a formula for the Green function characterizing the diffusion process on the spider graph, also known as a diffusion spider. Additionally, they solve several optimal stopping problems using two distinct methods coming from the representation approach. Notably, both methods require the computation of the Martin kernel, which is equivalent to the Green kernel.
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hitting time
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excursion entrance law
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Riesz representation
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harmonic function
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skew Brownian motion
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stopping region
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