Embedding of Walsh Brownian motion

Abstract: Let

(Z, k a p p a)

be a Walsh Brownian motion with spinning measure

k a p p a

. Suppose

m u

is a probability measure on

m a t h b b R^{n}

. We characterize all the

k a p p a

such that

m u

is a stopping distribution of

(Z, k a p p a)

. If we further restrict the solution to be integrable, we show that there would be only one choice of

k a p p a

. We also generalize Vallois' embedding, and prove that it minimizes the expectation

m a t h b b E [P s i (L_{a u}^{Z})]

among all the admissible solutions

a u

, where

P s i

is a strictly convex function and

(L_{t}^{Z})_{t g e q 0}

is the local time of the Walsh Brownian motion at the origin.

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