On the Diameter of the Stopped Spider Process

DOI10.1287/MOOR.2023.1359MaRDI QIDQ6149397zbMATH OpenOpenAlexFDO

Authors Philip Ernst, Adam Osȩkowski

Publication date 5 March 2024

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

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

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)

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.

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

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