相关论文: Martingale problem for a Walsh spider process with…
The aim of this article is to give several results related to Walsh's spider diffusions living on a star-shaped network that have a spinning measure selected from the own local time of the motion at the vertex (cf.[17]). We prove the…
The purpose of this article is to study a new problem of stochastic control, related to Walsh's spider diffusion, named: stochastic optimal scattering control. The optimal scattering control of the spider diffusion at the junction point is…
The main purpose of this work is to provide an existence and uniqueness result for the solution of a linear parabolic system posed on a star-shaped network, which presents a new type of Kirchhoff's boundary transmission condition at the…
A Walsh diffusion on Euclidean space moves along each ray from the origin, as a solution to a stochastic differential equation with certain drift and diffusion coefficients, as long as it stays away from the origin. As it hits the origin,…
Inspired by allocation strategies in multi-armed bandit model, we propose a pathwise construction of Walsh spider diffusions. For any infinitesimal generator on a star shaped graph, there exists a unique time change associated with a…
A diffusion spider is a strong Markov process with continuous paths taking values on a graph with one vertex and a finite number of edges (of infinite length). An example is Walsh's Brownian spider where the process on each edge behaves as…
We prove strong existence and uniqueness for a reflection process $X$ in a smooth, bounded domain $D$ that behaves like obliquely-reflected-Brownian-motion, except that the direction of reflection depends on a (spin) parameter $S$, which…
In this paper a martingale problem for super-Brownian motion with interactive branching is derived. The uniqueness of the solution to the martingale problem is obtained by using the pathwise uniqueness of the solution to a corresponding…
We construct a class of discontinuous superprocesses with dependent spatial motion and general branching mechanism. The process arises as the weak limit of critical interacting-branching particle systems where the spatial motions of the…
We prove existence and uniqueness for semimartingale reflecting diffusions in 2-dimensional piecewise smooth domains with varying, oblique directions of reflection on each "side", under geometric, easily verifiable conditions. Our…
We introduce a class of continuous planar processes, called "semimartingales on rays", and develop for them a change-of-variable formula involving quite general classes of test functions. Special cases of such planar processes are…
We propose a discrete analogue for the boundary local time of reflected diffusions in bounded Lipschitz domains. This discrete analogue, called the discrete local time, can be effectively simulated in practice and is obtained pathwise from…
Let $(W,H,\mu)$ be the classical Wiener space on $\R^d$. Assume that $X=(X_t)$ is a diffusion process satisfying the stochastic differential equation $dX_t=\sigma(t,X)dB_t+b(t,X)dt$, where $\sigma:[0,1]\times C([0,1],\R^n)\to \R^n\otimes…
In this paper we investigate jump-diffusion processes in random environments which are given as the weak solutions to SDE's. We formulate conditions ensuring existence and uniqueness in law of solutions. We investigate Markov property. To…
A new technique for proving uniqueness of martingale problems is introduced. The method is illustrated in the context of elliptic diffusions in $R^d$.
For a real-valued one dimensional diffusive strict local martingale,, we provide a set of smooth functions in which the Cauchy problem has a unique classical solution under a local H\"older condition. Under the weaker Engelbert-Schmidt…
We consider the Brownian ``spider process'', also known as Walsh Brownian motion, first introduced in the epilogue of Walsh 1978. The paper provides the best constant $C_n$ for the inequality $$ E D_\tau\leq C_n \sqrt{E \tau},$$ where…
Two frameworks that have been used to characterize reflected diffusions include stochastic differential equations with reflection and the so-called submartingale problem. We introduce a general formulation of the submartingale problem for…
Constrained Markov processes, such as reflecting diffusions, behave as an unconstrained process in the interior of a domain but upon reaching the boundary are controlled in some way so that they do not leave the closure of the domain. In…
In this paper, we develop a general methodology to prove weak uniqueness for stochastic differential equations with coefficients depending on some path-functionals of the process. As an extension of the technique developed by Bass \&…