On the diameter of the stopped spider process
File(s)
Author(s)
Bednarz, Ewelina
Ernst, Philip A
Osękowski, Adam
Type
Journal Article
Abstract
We consider the Brownian “spider process,” also known as Walsh Brownian motion, first introduced by J. B. Walsh [Walsh JB (1978) A diffusion with a discontinuous local time. Asterisque 52:37–45]. The paper provides the best constant Cn for the inequality
EDτ≤CnEτ−−−√,
where τ is the class of all adapted and integrable stopping times and D denotes the diameter of the spider process measured in terms of the British rail metric. This solves a variant of the long-standing open “spider problem” due to L. E. Dubins. The proof relies on the explicit identification of the value function for the associated optimal stopping problem.
Funding: P. A. Ernst thanks the Royal Society Wolfson Fellowship (RSWF\R2\222005) and the U.S. Office of Naval Research (ONR N00014-21-1-2672) for their support of this research.
EDτ≤CnEτ−−−√,
where τ is the class of all adapted and integrable stopping times and D denotes the diameter of the spider process measured in terms of the British rail metric. This solves a variant of the long-standing open “spider problem” due to L. E. Dubins. The proof relies on the explicit identification of the value function for the associated optimal stopping problem.
Funding: P. A. Ernst thanks the Royal Society Wolfson Fellowship (RSWF\R2\222005) and the U.S. Office of Naval Research (ONR N00014-21-1-2672) for their support of this research.
Date Issued
2024-02-01
Date Acceptance
2024-01-03
Citation
Mathematics of Operations Research, 2024, 49 (1), pp.346-365
ISSN
0364-765X
Publisher
Institute for Operations Research and the Management Sciences (INFORMS)
Start Page
346
End Page
365
Journal / Book Title
Mathematics of Operations Research
Volume
49
Issue
1
Copyright Statement
Copyright © 2023 The Author(s). https://doi.org/10.1287/moor.2023.1359, used under a Creative
Commons Attribution License: https://creativecommons.org/licenses/by-nc/4.0/.
Commons Attribution License: https://creativecommons.org/licenses/by-nc/4.0/.
Identifier
http://dx.doi.org/10.1287/moor.2023.1359
Publication Status
Published
Date Publish Online
2024-02-05