Walsh spider diffusions as time changed multi-parameter processes

IF 1.2 2区数学 Q3 STATISTICS & PROBABILITY

Stochastic Processes and their Applications Pub Date : 2025-04-30 DOI:10.1016/j.spa.2025.104672

Erhan Bayraktar , Jingjie Zhang , Xin Zhang

引用次数: 0

Abstract

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 multi-parameter process such that the time change of this multi-parameter process is the desired diffusion. The time change has an interpretation of time allocation of the process on each edge, and it can be derived explicitly from a family of equations.

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沃尔什蜘蛛扩散随时间变化的多参数过程

受多臂强盗模型分配策略的启发，我们提出了一种Walsh蜘蛛扩散的路径构建方法。对于星形图上的任意无穷小发生器，存在与多参数过程相关联的唯一时间变化，使得该多参数过程的时间变化为期望扩散。时间变化解释了过程在每条边上的时间分配，它可以从一系列方程中显式导出。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Stochastic Processes and their Applications 数学-统计学与概率论

CiteScore

2.90

自引率

7.10%

发文量

180

审稿时长

23.6 weeks

期刊介绍： Stochastic Processes and their Applications publishes papers on the theory and applications of stochastic processes. It is concerned with concepts and techniques, and is oriented towards a broad spectrum of mathematical, scientific and engineering interests. Characterization, structural properties, inference and control of stochastic processes are covered. The journal is exacting and scholarly in its standards. Every effort is made to promote innovation, vitality, and communication between disciplines. All papers are refereed.