The Noise Made by a Poisson Snake
Jon Warren, University of Warwick
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.
Full text: PDF | PostScript
Copyright for articles published in this journal is retained by the authors, with first publication rights granted to the journal. By virtue of their appearance in this open access journal, articles are free to use, with proper attribution, in educational and other non-commercial settings.
The authors of papers published in EJP/ECP retain the copyright. We ask for the permission to use the material in any form. We also require that the initial publication in EJP or ECP is acknowledged in any future publication of the same article.
Before a paper is published in the Electronic Journal of Probability or Electronic Communications in Probability we must receive a hard-copy of the copyright form. Please mail it to
Philippe Carmona
Laboratoire Jean Leray UMR 6629
Universite de Nantes,
2, Rue de la Houssinière BP 92208
F-44322 Nantes Cédex 03
France
You can also send it by FAX: (33|0) 2 51 12 59 12 to the attention of Philippe Carmona. You can even send a scanned jpeg or pdf of this copyright form to the managing editor ejpecpme@math.univ-nantes.fr. as an attached file.
If a paper has several authors, the corresponding author signs the copyright form on behalf of all the authors.