Abstract
We present an example of a one-dimensional diffusion that cannot be innovated by Brownian motion. We do this by studying the ways in which two copies of sticky Brownian motion may be joined together and applying Tsirel'son's criteria of cosiness.
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Warren, J. (1999). On the joining of sticky brownian motion. In: Azéma, J., Émery, M., Ledoux, M., Yor, M. (eds) Séminaire de Probabilités XXXIII. Lecture Notes in Mathematics, vol 1709. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0096515
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DOI: https://doi.org/10.1007/BFb0096515
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