On the Duality between Coalescing Brownian Particles and the Heat Equation Driven by Fisher-Wright Noise
Tim Hobson, University of Warwick, UK
Rodge Tribe, University of Warwick, UK
Abstract
This paper concerns the Markov process duality between the
one-dimensional heat equation driven by Fisher-Wright white noise
and slowly coalescing Brownian particles. A representation is
found for the law of the solution x → U(t,x) to the stochastic
PDE, at a fixed time, in terms of a labelled system of such
particles.
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