Electronic Communications in Probability

Electronic Communications in Probability > Vol. 10 (2005) > Paper 14

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.

Full text: PDF

Pages: 136-145

Published on: July 13, 2005

Bibliography

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Electronic Communications in Probability. ISSN: 1083-589X