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A super-Brownian motion with a single point catalyst

Author

Listed:
  • Dawson, Donald A.
  • Fleischmann, Klaus

Abstract

A one-dimensional continuous measure-valued branching process is discussed, where branching occurs only at a single point catalyst described by the Dirac [delta]-function [delta]c. A (spatial) density field exists which is jointly continuous. At a fixed time t [greater-or-equal, slanted] 0, the density at z degenerates to 0 stochastically as z approaches the catalyst's position c. On the other hand, the occupation time process has a (spatial) occupation density field which is jointly continuous even at c and non-vanishing there. Moreover, the corresponding 'occupation density measure' ) at c has carrying Hausdorff-Besicovitch dimension one. Roughly speaking, density of mass arriving at c normally dies immediately, whereas creation of density mass occurs only on a singular time set. Starting initially with a unit mass concentrated at c, the total occupation time measure [infinity] equals in law a random multiple of the Lebesgue measure where that factor is just the total occupation density at the catalyst's position and has a stable distribution with index . The main analytical tool is a non-linear reaction diffusion equation (cumulant equation) in which [delta]-functions enter in three ways, namely as coefficient [delta]c of the quadratic reaction term (describing the point-catalytic medium), as Cauchy initial condition (leading to fundamental solutions and to the -density), and as external force term (related to the occupation density).

Suggested Citation

  • Dawson, Donald A. & Fleischmann, Klaus, 1994. "A super-Brownian motion with a single point catalyst," Stochastic Processes and their Applications, Elsevier, vol. 49(1), pages 3-40, January.
  • Handle: RePEc:eee:spapps:v:49:y:1994:i:1:p:3-40
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    Citations

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    Cited by:

    1. Donald A. Dawson & Klaus Fleischmann, 1997. "A Continuous Super-Brownian Motion in a Super-Brownian Medium," Journal of Theoretical Probability, Springer, vol. 10(1), pages 213-276, January.
    2. Eduardo Abi Jaber, 2020. "Weak existence and uniqueness for affine stochastic Volterra equations with L1-kernels," Working Papers hal-02412741, HAL.
    3. Mörters, Peter & Vogt, Pascal, 2005. "A construction of catalytic super-Brownian motion via collision local time," Stochastic Processes and their Applications, Elsevier, vol. 115(1), pages 77-90, January.
    4. Eduardo Abi Jaber, 2021. "Weak existence and uniqueness for affine stochastic Volterra equations with L1-kernels," Post-Print hal-02412741, HAL.
    5. Eyal Neuman & Alexander Schied, 2016. "Optimal portfolio liquidation in target zone models and catalytic superprocesses," Finance and Stochastics, Springer, vol. 20(2), pages 495-509, April.
    6. Leduc, Guillaume, 2006. "Martingale problem for superprocesses with non-classical branching functional," Stochastic Processes and their Applications, Elsevier, vol. 116(10), pages 1468-1495, October.
    7. Engländer, János & Fleischmann, Klaus, 2000. "Extinction properties of super-Brownian motions with additional spatially dependent mass production," Stochastic Processes and their Applications, Elsevier, vol. 88(1), pages 37-58, July.
    8. Greven, A. & Klenke, A. & Wakolbinger, A., 2002. "Interacting diffusions in a random medium: comparison and longtime behavior," Stochastic Processes and their Applications, Elsevier, vol. 98(1), pages 23-41, March.
    9. Eyal Neuman & Alexander Schied, 2015. "Optimal Portfolio Liquidation in Target Zone Models and Catalytic Superprocesses," Papers 1504.06031, arXiv.org, revised Jul 2015.
    10. Eduardo Abi Jaber, 2021. "Weak existence and uniqueness for affine stochastic Volterra equations with L1-kernels," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-02412741, HAL.
    11. Eduardo Abi Jaber, 2019. "Weak existence and uniqueness for affine stochastic Volterra equations with L1-kernels," Papers 1912.07445, arXiv.org, revised Jun 2020.

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