@mpeychet, if say, you have the following subdomains a.mydomain.com and b.mydomain.com then depending on the tracker version you could set the cookie domain manually or let tracker figure it out:
cookieDomain: 1 General parameters for the Javascript tracker · snowplow/snowplow Wiki · GitHubdiscoverRootDomain: 1 General parameters for the Javascript tracker · snowplow/snowplow Wiki · GitHub
The goal here is to have your cookie set on the domain .mydomain.com.
Do note the initial disruption to analytics due to change of the cookie domain
WARNING : Changing the cookie domain will reset all existing cookies. As a result, it might be a major one-time disruption to data analytics because all visitors to the website will receive a new
domain_userid.
Here’s the tutorial on how to handle this beforehand: Javascript tracker: How to keep track of users when changing the cookie domain? [tutorial]