Markov processes with spatial delay: path space characterization, occupation time and properties
From MaRDI portal
Abstract: In this paper, we study one dimensional Markov processes with spatial delay. Since the seminal work of Feller, we know that virtually any one dimensional, strong, homogeneous, continuous Markov process can be uniquely characterized via its infinitesimal generator and the generator's domain of definition. Unlike standard diffusions like Brownian motion, processes with spatial delay spend positive time at a single point of space. Interestingly, the set of times that a delay process spends at its delay point is nowhere dense and forms a positive measure Cantor set. The domain of definition of the generator has restrictions involving second derivatives. In this article we provide a pathwise characterization for processes with delay in terms of an SDE and an occupation time formula involving the symmetric local time. This characterization provides an explicit Doob-Meyer decomposition, demonstrating that such processes are semi-martingales and that all of stochastic calculus including It^{o} formula and Girsanov formula applies. We also establish an occupation time formula linking the time that the process spends at a delay point with its symmetric local time there. A physical example of a stochastic dynamical system with delay is lastly presented and analyzed.
Recommendations
- Preservation of the Markov property under delayed reflection
- Semi-Markov approach to the problem of delayed reflection of diffusion Markov processes
- On Markov diffusion processes with delayed reflection from boundaries of a segment
- Diffusion processes with delay at the endpoints of a segment
- Weak infinitesimal generator for a stochastic partial differential equation with time delay
Cites work
- A stochastic differential equation with a sticky point
- Diffusion processes on graphs: Stochastic differential equations, large deviation principle
- Generalized second order differential operators and their lateral conditions
- scientific article; zbMATH DE number 3951715 (Why is no real title available?)
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
- scientific article; zbMATH DE number 1245556 (Why is no real title available?)
- scientific article; zbMATH DE number 1047448 (Why is no real title available?)
- scientific article; zbMATH DE number 3447884 (Why is no real title available?)
- scientific article; zbMATH DE number 1405936 (Why is no real title available?)
- scientific article; zbMATH DE number 1405938 (Why is no real title available?)
- scientific article; zbMATH DE number 3287297 (Why is no real title available?)
- On Stochastic Differential Equations with Reflecting Barriers
- On the constructions of the skew Brownian motion
- On the one-sided tanaka equation with drift
- Real analysis
- Sticky Brownian motion as the strong limit of a sequence of random walks
- Stochastic calculus for a time-changed semimartingale and the associated stochastic differential equations
- Stochastic differential equations for sticky Brownian motion
- Strong Markov Continuous Local Martingales and Solutions of One-Dimensional Stochastic Differential Equations (Part III)
- Wiener process with reflection in non-smooth narrow tubes
Cited in
(11)- Hitting time problems of sticky Brownian motion and their applications in optimal stopping and bond pricing
- On the probability of default in a market with price clustering and jump risk
- A result on the Laplace transform associated with the sticky Brownian motion on an interval
- On some properties of sticky Brownian motion
- scientific article; zbMATH DE number 5732165 (Why is no real title available?)
- On first passage times of sticky reflecting diffusion processes with double exponential jumps
- Some explicit results on one kind of sticky diffusion
- Functional convergence to the local time of a sticky diffusion
- Sticky diffusions on star graphs: characterization and Itô formula
- Pricing and hedging for a sticky diffusion
- Stationary mean field games on networks with sticky transition conditions
This page was built for publication: Markov processes with spatial delay: path space characterization, occupation time and properties
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5361988)
