Minimal subharmonic functions and related integral representations

DOI10.1214/23-EJP1065MaRDI QIDQ6186445zbMATH OpenOpenAlexFDO

Authors Umut Cetin

Publication date 2 February 2024

Published in Electronic Journal of Probability (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2209.01898

zbMATH Keywords

integral representationone-dimensional diffusionspotential theorysubharmonic functions

Mathematics Subject Classification ID

Diffusion processes (60J60) Stopping times; optimal stopping problems; gambling theory (60G40) Local time and additive functionals (60J55)

Abstract: A Choquet-type integral representation result for non-negative subharmonic functions of a one-dimensional regular diffusion is established. The representation allows in particular an integral equation for strictly positive subharmonic functions that is driven by the Revuz measure of the associated continuous additive functional. Moreover, via the aforementioned integral equation, one can construct an {em Ito-Watanabe pair} $(g,A)$ that consist of a subharmonic function $g$ and a continuous additive functional $A$ is with Revuz measure $m{u}_A$ such that $g(X)exp(-A)$ is a local martingale. Changes of measures associated with Ito-Watanabe pairs are studied and shown to modify the long term behaviour of the original diffusion process to exhibit transience.

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