Stochastic calculus and martingales on trees

DOI10.1016/J.ANIHPB.2004.03.002MaRDI QIDQ2485741zbMATH OpenOpenAlexFDO

Authors Jean Picard

Publication date 5 August 2005

Published in Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL http://www.numdam.org/item?id=AIHPB_2005__41_4_631_0, http://www.numdam.org/item?id=AIHPB_2005__41_4_631_0/, https://eudml.org/doc/77861

zbMATH Keywords

coupling of diffusionenergyharmonic mapsmartingales with jumpssemimartingales on trees

Mathematics Subject Classification ID

Semigroups of nonlinear operators (47H20) Harmonic maps, etc. (58E20) Diffusion processes and stochastic analysis on manifolds (58J65) General theory of stochastic processes (60G07) Generalizations of martingales (60G48)

Review text

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.

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Cited in

(13)

• Stochastic integral equations for Walsh semimartingales
• Semimartingales on rays, Walsh diffusions, and related problems of control and stopping
• Decomposition and convergence for tree martingales
• Stationary distributions and convergence for Walsh diffusions
• Discrete Malliavin calculus and computations of Greeks in the binomial tree
• Connecting Yule process, bisection and binary search tree via martingales
• scientific article; zbMATH DE number 1064802 (Why is no real title available?)
• scientific article; zbMATH DE number 2153241 (Why is no real title available?)
• Stochastic processes on ends of tree and Dirichlet forms
• Elastic graphs
• Expectations and martingales in metric spaces
• On harmonic functions on trees
• Trees and asymptotic expansions for fractional stochastic differential equations

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