Stochastic flows and an interface SDE on metric graphs

DOI10.1016/J.SPA.2015.07.014MaRDI QIDQ898398zbMATH OpenOpenAlexFDO

Authors Hatem Hajri, Olivier Raimond

Publication date 8 December 2015

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1310.3576

zbMATH Keywords

stochastic differential equationmetric graphreflected Brownian motionstochastic flowsWalsh's Brownian motion

Mathematics Subject Classification ID

Brownian motion (60J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: This paper consists in the study of a stochastic differential equation on a metric graph, called an interface SDE $(hboxISDE)$. To each edge of the graph is associated an independent white noise, which drives $(hboxISDE)$ on this edge. This produces an interface at each vertex of the graph. We first do our study on star graphs with $Nge2$ rays. The case $N=2$ corresponds to the perturbed Tanaka's equation recently studied by Prokaj cite{MR18} and Le Jan-Raimond cite{MR000} among others. It is proved that $(hboxISDE)$ has a unique in law solution, which is a Walsh's Brownian motion. This solution is strong if and only if $N=2$. Solution flows are also considered. There is a (unique in law) coalescing stochastic flow of mappings $p$ solving $(hboxISDE)$. For $N=2$, it is the only solution flow. For $Nge3$, $p$ is not a strong solution and by filtering $p$ with respect to the family of white noises, we obtain a (Wiener) stochastic flow of kernels solution of $(hboxISDE)$. There are no other Wiener solutions. Our previous results cite{MR501011} in hand, these results are extended to more general metric graphs. The proofs involve the study of $(X,Y)$ a Brownian motion in a two dimensional quadrant obliquely reflected at the boundary, with time dependent angle of reflection. We prove in particular that, when $(X_0,Y_0)=(1,0)$ and if $S$ is the first time $X$ hits $0$, then $Y_S^2$ is a beta random variable of the second kind. We also calculate $EE[L_{sigm{a}_0}]$, where $L$ is the local time accumulated at the boundary, and $sigm{a}_0$ is the first time $(X,Y)$ hits $(0,0)$.

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Cited in

(5)

• An averaging principle for stochastic flows and convergence of non-symmetric Dirichlet forms
• Stochastic flows related to Walsh Brownian motion
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• On a coupling of solutions to the interface stochastic differential equation on a star graph
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