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math.PR2022
Diffusion spiders: Green kernel, excessive functions and optimal stopping
Jukka Lempa, Ernesto Mordecki, Paavo Salminen
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'…
math.PR2019
On asymptotic relations between singular and constrained control problems of one-dimensional diffusions
Jukka Lempa, Harto Saarinen
We study the asymptotic relations between certain singular and constrained control problems for one-dimensional diffusions with both discounted and ergodic objectives. By constrain…