DOI QR코드

DOI QR Code

COMPUTATIONS AND CONSERVATIVENESS OF TRACES OF ONE-DIMENSIONAL DIFFUSIONS

  • Ali BenAmor (Institute of Transport and Logistics University of Sousse) ;
  • Rafed Moussa (Higher Institute of Information and Communication Technologies of Borj Cedria University of Carthage)
  • Received : 2022.05.25
  • Accepted : 2023.04.21
  • Published : 2023.07.01

Abstract

We compute explicitly traces of one-dimensional diffusion processes. The obtained trace forms can be regarded as Dirichlet forms on graphs. Then we discuss conditions ensuring the trace forms to be conservative. Finally, the obtained results are applied to the Bessel process of order ν.

Keywords

References

  1. H. BelHadjAli, A. BenAmor, C. Seifert, and A. Thabet, On the construction and convergence of traces of forms, J. Funct. Anal. 277 (2019), no. 5, 1334-1361. https://doi.org/10.1016/j.jfa.2019.05.017 
  2. A. BenAmor and R. Moussa, Computations and global properties for traces of Bessel's Dirichlet form, Quaest. Math. 44 (2021), no. 9, 1173-1196. https://doi.org/10.2989/16073606.2020.1781281 
  3. Z.-Q. Chen and M. Fukushima, Symmetric Markov processes, time change, and boundary theory, London Mathematical Society Monographs Series, 35, Princeton Univ. Press, Princeton, NJ, 2012. 
  4. M. Fukushima, On general boundary conditions for one-dimensional diffusions with symmetry, J. Math. Soc. Japan 66 (2014), no. 1, 289-316. https://doi.org/10.2969/jmsj/06610289 
  5. M. Fukushima, Y. Oshima, and M. Takeda, Dirichlet forms and symmetric Markov processes, De Gruyter Studies in Mathematics, 19, de Gruyter, Berlin, 1994. https://doi.org/10.1515/9783110889741 
  6. M. Gim and G. Trutnau, Recurrence criteria for generalized Dirichlet forms, J. Theor. Probab. 2 (2016), no. 32, 2129-2166.  https://doi.org/10.1007/s10959-017-0779-8
  7. M. Gim and G. Trutnau, Conservativeness criteria for generalized Dirichlet forms, J. Math. Anal. Appl. 448 (2017), no. 2, 1419-1449. https://doi.org/10.1016/j.jmaa.2016.11.056 
  8. A. A. Grigor'yan, X. Huang, and J. Masamune, On stochastic completeness of jump processes, Math. Z. 271 (2012), no. 3-4, 1211-1239. https://doi.org/10.1007/s00209-011-0911-x 
  9. K. Ito, Essentials of stochastic processes, translated from the 1957 Japanese original by Yuji Ito, Translations of Mathematical Monographs, 231, Amer. Math. Soc., Providence, RI, 2006. https://doi.org/10.1090/mmono/231 
  10. M. Jeanblanc, M. Yor, and M. Chesney, Mathematical methods for financial markets, Springer Finance, Springer-Verlag London, Ltd., London, 2009. https://doi.org/10.1007/978-1-84628-737-4 
  11. M. Keller and D. H. Lenz, Dirichlet forms and stochastic completeness of graphs and subgraphs, J. Reine Angew. Math. 666 (2012), 189-223. https://doi.org/10.1515/CRELLE.2011.122 
  12. V. Linetsky, The spectral decomposition of the option value, Int. J. Theor. Appl. Finance 7 (2004), no. 3, 337-384. https://doi.org/10.1142/S0219024904002451 
  13. P. Mandl, Analytical treatment of one-dimensional Markov processes, Die Grundlehren der mathematischen Wissenschaften, Band 151, Academia, Prague, 1968. 
  14. J. Masamune, T. Uemura, and J. Wang, On the conservativeness and the recurrence of symmetric jump-diffusions, J. Funct. Anal. 263 (2012), no. 12, 3984-4008. https://doi.org/10.1016/j.jfa.2012.09.014 
  15. K.-T. Sturm, Analysis on local Dirichlet spaces. I. Recurrence, conservativeness and Lp-Liouville properties, J. Reine Angew. Math. 456 (1994), 173-196. https://doi.org/10.1515/crll.1994.456.17