Lenses in Skew Brownian Flow
Abstract
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.
Cite
@article{arxiv.math/0503586,
title = {Lenses in Skew Brownian Flow},
author = {Krzysztof Burdzy and Haya Kaspi},
journal= {arXiv preprint arXiv:math/0503586},
year = {2007}
}
Comments
Published at http://dx.doi.org/10.1214/009117904000000711 in the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org)