On the Diameter of the Stopped Spider Process

DOI10.1287/MOOR.2023.1359arXiv2105.15202OpenAlexW3167056443MaRDI QIDQ6149397FDOQ6149397

Authors: Philip Ernst, Adam Osȩkowski 

Publication date: 5 March 2024

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Abstract: We consider the Brownian ``spider process, also known as Walsh Brownian motion, first introduced in the epilogue of Walsh 1978. The paper provides the best constant $C_n$ for the inequality ${\displaystyle }$ E D_ auleq C_n sqrt{E au},${\displaystyle }$ where $au$ is the class of all adapted and integrable stopping times and $D$ denotes the diameter of the spider process measured in terms of the British rail metric. The proof relies on the explicit identification of the value function for the associated optimal stopping problem.

Full work available at URL: https://arxiv.org/abs/2105.15202

Recommendations

• Diffusion spiders: Green kernel, excessive functions and optimal stopping
• Exercising control when confronted by a (Brownian) spider
• Estimates for the diameter of a martingale
• Publication:4938930

zbMATH Keywords

optimal stoppingbest constantWalsh Brownian motionspider process

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Stochastic models in economics (91B70)

Cited In (1)

• Diffusion spiders: Green kernel, excessive functions and optimal stopping

This page was built for publication: On the Diameter of the Stopped Spider Process

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6149397)