A Local Time Analysis of Intersections of Brownian Paths in the Plane
Geman, Donald ; Horowitz, Joseph ; Rosen, Jay
Ann. Probab., Tome 12 (1984) no. 4, p. 86-107 / Harvested from Project Euclid
We envision a network of $N$ paths in the plane determined by $N$ independent, two-dimensional Brownian motions $W_i(t), t \geq 0, i = 1, 2, \cdots, N$. Our problem is to study the set of "confluences" $z$ in $\mathbb{R}^2$ where all $N$ paths meet and also the set $M_0$ of $N$-tuples of times $\mathbf{t} = (t_1, \cdots, t_N)$ at which confluences occur: $M_0 = \{\mathbf{t}: W_1(t_1) = \cdots = W_N(t_N)\}$. The random set $M_0$ is analyzed by constructing a convenient stochastic process $X$, which we call "confluent Brownian motion", for which $M_0 = X^{-1}(0)$ and using the theory of occupation densities. The problem of confluences is closely related to that of multiple points for a single process. Some of our work is motivated by Symanzik's use of Brownian local time in quantum field theory.
Publié le : 1984-02-14
Classification:  Confluent Brownian motion,  multiple intersections,  Hausdorff dimension,  local time,  Holder conditions,  60G15,  60G17,  60G60,  60J65
@article{1176993375,
     author = {Geman, Donald and Horowitz, Joseph and Rosen, Jay},
     title = {A Local Time Analysis of Intersections of Brownian Paths in the Plane},
     journal = {Ann. Probab.},
     volume = {12},
     number = {4},
     year = {1984},
     pages = { 86-107},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176993375}
}
Geman, Donald; Horowitz, Joseph; Rosen, Jay. A Local Time Analysis of Intersections of Brownian Paths in the Plane. Ann. Probab., Tome 12 (1984) no. 4, pp.  86-107. http://gdmltest.u-ga.fr/item/1176993375/