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A conservative evolution of the Brownian excursion


 
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1. Title Title of document A conservative evolution of the Brownian excursion
 
2. Creator Author's name, affiliation, country Lorenzo Zambotti; University of Paris 6, France
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) Brownian meander; Brownian excursion; singular conditioning; Stochastic partial differential equations with reflection
 
3. Subject Subject classification 60J65, 60G15, 60H15, 60H07, 37L40
 
4. Description Abstract We consider the problem of conditioning the Brownian excursion to have a fixed time average over the interval [0,1] and we study an associated stochastic partial differential equation with reflection at 0 and with the constraint of conservation of the space average. The equation is driven by the derivative in space of a space-time white noise and contains a double Laplacian in the drift. Due to the lack of the maximum principle for the double Laplacian, the standard techniques based on the penalization method do not yield existence of a solution.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s)
 
7. Date (YYYY-MM-DD) 2008-07-09
 
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/525
 
10. Identifier Digital Object Identifier 10.1214/EJP.v13-525
 
11. Source Journal/conference title; vol., no. (year) Electronic Journal of Probability; Vol 13
 
12. Language English=en
 
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