Minimal subharmonic functions and related integral representations

DOI10.1214/23-EJP1065arXiv2209.01898OpenAlexW4390740419MaRDI QIDQ6186445FDOQ6186445

Authors: Umut Cetin 

Publication date: 2 February 2024

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

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.

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

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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)

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