Sticky diffusions on star graphs : characterization and It{\^o} formula
Probability
2025-10-21 v3
Abstract
We investigate continuous diffusions on star graphs with sticky behavior at the vertex. These are Markov processes with continuous paths having a positive occupation time at the vertex. We characterize sticky diffusions as time-changed nonsticky diffusions by adapting the classical technique of It{\^o} and McKean. We prove a form of It{\^o} formula, also known as Freidlin-Sheu formula, for this type of process. As an intermediate step, we also obtain a stochastic differential equation satisfied by the radial component of the process. These results generalize those already known for sticky diffusions on a half-line and skew sticky diffusions on the real line.
Keywords
Cite
@article{arxiv.2411.05441,
title = {Sticky diffusions on star graphs : characterization and It{\^o} formula},
author = {Jules Berry and Fausto Colantoni},
journal= {arXiv preprint arXiv:2411.05441},
year = {2025}
}