CONSISTENT FAMILIES OF BROWNIAN MOTIONS AND STOCHASTIC FLOWS OF KERNELS

• 成果类型: Article
• 署名作者: Howitt, Chris; Warren, Jon
• 署名单位: University of Warwick
• 刊物名称: ANNALS OF PROBABILITY
• ISSN/ISSBN: 0091-1798
• DOI: 10.1214/08-AOP431
• 发表日期: 2009
• 页码: 1237-1272
• 关键词: sticky; particles; limit

摘要

Consider the following mechanism for the random evolution of a distribution of mass on the integer lattice Z. At unit rate, independently for each site, the mass at the site is split into two parts by choosing a random proportion distributed according to some specified probability measure on [0, 1] and dividing the mass in that proportion. One part then moves to each of the two adjacent sites. This paper considers a continuous analogue of this evolution, which may be described by means of a stochastic flow of kernels, the theory of which was developed by Le Jan and Raimond. One of their results is that such a flow is characterized by specifying its N point motions, which form a consistent family of Brownian motions. This means for each dimension N we have a diffusion in R-N, whose N coordinates are all Brownian motions. Any M coordinates taken from the N-dimensional process are distributed as the M-dimensional process in the family. Moreover, in this setting, the only interactions between coordinates are local: when coordinates differ in value they evolve independently of each other. In this paper we explain how such multidimensional diffusions may be constructed and characterized via martingale problems.