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The Noise Made by a Poisson Snake


 
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1. Title Title of document The Noise Made by a Poisson Snake
 
2. Creator Author's name, affiliation, country Jon Warren; University of Warwick
 
3. Subject Discipline(s) Mathematics
 
3. Subject Keyword(s) stochastic flow, sticky Brownian motion, coalescence, stochastic differential equation, noise.
 
3. Subject Subject classification 60H10, 60J60
 
4. Description Abstract The purpose of this article is to study a coalescing flow of sticky Brownian motions. Sticky Brownian motion arises as a weak solution of a stochastic differential equation, and the study of the flow reveals the nature of the extra randomness that must be added to the driving Brownian motion. This can be represented in terms of Poissonian marking of the trees associated with the excursions of Brownian motion. We also study the noise, in the sense of Tsirelson, generated by the flow. It is shown that this noise is not generated by any Brownian motion, even though it is predictable.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s)
 
7. Date (YYYY-MM-DD) 2002-06-24
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ejp.ejpecp.org/article/view/120
 
10. Identifier Digital Object Identifier 10.1214/EJP.v7-120
 
11. Source Journal/conference title; vol., no. (year) Electronic Journal of Probability; Vol 7
 
12. Language English=en en
 
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