Optimisation-based representations for branching processes
Analysis of PDEs
2020-07-24 v3
Abstract
It is shown that a certain functional of a branching process has representations in terms of both a maximisation problem and a minimisation problem. A consequence of these representation is that upper and lower bounds on the functional can be found easily, yielding a non-asymptotic Trotter product formula. As an application, the speed of the right-most particle of a branching Levy process is calculated.
Cite
@article{arxiv.1803.09688,
title = {Optimisation-based representations for branching processes},
author = {David P. Driver and Michael R. Tehranchi},
journal= {arXiv preprint arXiv:1803.09688},
year = {2020}
}