Sticky diffusions on star graphs: characterization and Itô formula (Q6887553)

The paper is devoted to the study of sticky diffusions on a ``star'' graph \(\Gamma\) with a finite number of edges and a single common vertex. The main emphasis is about what happens at the vertex where the process spends positive time. The authors provide some details of the history of the topic in section 1. The first references on sticky diffusions on the half-line are \textit{W. Feller}'s works [Ann. Math. (2) 55, 468--519 (1952; Zbl 0047.09303); Ill. J. Math. 1, 459--504 (1957; Zbl 0077.29102)]. They relate naturally to second order differential operators with specific boundary conditions at zero. \textit{K. Ito} and \textit{H. P. McKean jun.} [Ill. J. Math. 7, 181--231 (1963; Zbl 0114.33601)] characterized such a process by a random time-change of a non-sticky diffusion. In [Ann. Probab. 21, No. 4, 2215--2245 (1993; Zbl 0795.60042)] \textit{M. I. Freidlin} and \textit{A. D. Wentzell} offered a construction of a particular class of diffusions on the graphs and proved Itô's formula; a short summary of these two works is provided in section 3. There are quite a few other relevant references, to which it may be added some more about a 1D Skorokhod problem [\textit{A. V. Skorokhod}, Theory Probab. Appl. 7, 3--23 (1962; Zbl 0201.49302); translation from Teor. Veroyatn. Primen. 7, 5--25 (1962)].\N\NThe main results of this paper are the construction of a general class of diffusions on \(\Gamma\) with a sticky behaviour at the vertex provided in section 4, and the main theorem stated in section 2 and proved in section 4. The constructed process relates to the second order differential operator\N\[\NL_i f_i(x) = \frac{1}{2}\sigma_i^2(x) f_i''(x) + b_i(x) f_i'(x), \quad x>0,\N\]\Nwhere \(i\) is the index for the \(i\)-th edge, and \(f_i\) stands for the component of a function \(f\) on this edge, and similarly about \(\sigma_i\) and \(b_i\). The coefficients \(\sigma\) and \(b\) are bounded continuous, and \(\sigma\) is bounded away from zero. The operator \((L_i, 1\le i\le N)\) is accomplished by a boundary condition at the vertex \(v\),\N\[\N\eta Lf(v) = \sum_{i=1}^{N}\rho_i f'_i(0),\N\]\Nwith \(\eta\ge 0\), \(\rho_i>0, 1\le i\le N\), and \(\sum_{i=1}^{N} \rho_i = 1\). Here \(\eta\) is a stickness parameter, and \(\eta=0\) corresponds to the non-sticky case. Finally, the process is a pair \(X(t)= (i(t), x(t))\), which specifies the edge at time \(t\) and the value of the coordinate on this edge; the case \(x(t)=0\) corresponds to the vertex where the number \(i\) is irrelevant.\N\NThe main theorem states that in the case of \(\eta>0\), if \(X(t)= (i(t), x(t))\) is a sticky diffusion on \(\Gamma\), then:\N\begin{itemize}\N\item[1.] there exists a non-sticky diffusion \(Y(t)\) on \(\Gamma\) and a strictly increasing function \(t\mapsto V(t)\) such that the processes \(X(\cdot)\) and \(Y(V^{-1})(\cdot)\) are indistinguishable; also, there exists a ``local time'' \(\ell_X(t)\) increasing only at \((X(t)=v)\), and remaining constant on \(X(t)\neq v\), and such that \(V^{-1}(t) = t -\eta \ell_X(t)\);\N\item[2.] there exists a 1D Wiener process \(W\) such that \(x(t)\) satisfies the SDE \N\begin{align*}\N&\textit{d}x(t)= \sigma_{i(t)}(x(t)) \mathbf{1}_{\{x(t)\neq 0\}} \textit{d}W(t) + b_{i(t)}(x(t)) \mathbf{1}_{\{x(t)\neq 0\}}\textit{d}t + \textit{d}\ell_X(t), \ \ \ (1)\\\N& \eta \ell_X(t) = \int_0^t \mathbf{1}_{\{X(s) = v\}} \textit{d}s;\N\end{align*}\N\item[3.] for any function \(f \in C^{1,2}_b(\mathbb R_+ \times \Gamma)\) Freidlin-Sheu-Itô's formula holds:\N\begin{align*}\Nf(t,X(t)) &= f(0,X(0)) + \int_0^t \big(\partial_s f(s,X(s)) + Lf(s,X(s)))\big) \mathbf{1}_{\{X(s)\neq v\}} \textit{d}s \\\N& + \int_0^t \sigma(X(s)) \partial_x f(s,X(s))\mathbf{1}_{\{X(s)\neq v\}}\textit{d}W(s) \\\N& + \int_0^t \Big(\eta \partial_s f(s,v) + \sum_{i=1}^{N} \rho_i \partial_x f_i(s,0)\Big) \textit{d}s.\N\end{align*}\N\end{itemize}\NThe existence of a (weak) solution of the equation (1) is established in theorem 4.5. Applications to the probabilistic interpretation of solutions of differential equations of second order on \(\Gamma\) are provided in section 5 in propositions 5.1 and 5.2, and proposition A.1 of the appendix establishes existence and uniqueness of solutions for such differential equations by analytic tools.