Diffusion spiders: Green kernel, excessive functions and optimal stopping

DOI10.1016/j.spa.2023.104229arXiv2209.11491OpenAlexW4387213517MaRDI QIDQ6186387

Paavo H. Salminen, Jukka Lempa, Ernesto Mordecki

Publication date: 9 January 2024

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

Full work available at URL: https://arxiv.org/abs/2209.11491

zbMATH Keywords

harmonic functionhitting timeskew Brownian motionRiesz representationstopping regionexcursion entrance law

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Transition functions, generators and resolvents (60J35)

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