Lenses in skew Brownian flow
Burdzy, Krzysztof ; Kaspi, Haya
Ann. Probab., Tome 32 (2004) no. 1A, p. 3085-3115 / Harvested from Project Euclid
We consider a stochastic flow in which individual particles follow skew Brownian motions, with each one of these processes driven by the same Brownian motion. One does not have uniqueness for the solutions of the corresponding stochastic differential equation simultaneously for all real initial conditions. Due to this lack of the simultaneous strong uniqueness for the whole system of stochastic differential equations, the flow contains lenses, that is, pairs of skew Brownian motions which start at the same point, bifurcate, and then coalesce in a finite time. The paper contains qualitative and quantitative (distributional) results on the geometry of the flow and lenses.
Publié le : 2004-10-14
Classification:  Skew Brownian motion,  stochastic flow,  60J65,  60J55,  60G17,  60H10
@article{1107883347,
     author = {Burdzy, Krzysztof and Kaspi, Haya},
     title = {Lenses in skew Brownian flow},
     journal = {Ann. Probab.},
     volume = {32},
     number = {1A},
     year = {2004},
     pages = { 3085-3115},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1107883347}
}
Burdzy, Krzysztof; Kaspi, Haya. Lenses in skew Brownian flow. Ann. Probab., Tome 32 (2004) no. 1A, pp.  3085-3115. http://gdmltest.u-ga.fr/item/1107883347/