On the diameter of the stopped spider process

Abstract

We consider the Brownian ``spider process'', also known as Walsh Brownian motion, first introduced in the epilogue of Walsh 1978. The paper provides the best constant $C_n$ for the inequality $$ E D_\tau\leq C_n \sqrt{E \tau},$$ where $\tau$ 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. The proof relies on the explicit identification of the value function for the associated optimal stopping problem.