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On the joining of sticky brownian motion

  • J. Warren
Questions de Filtrations
Part of the Lecture Notes in Mathematics book series (LNM, volume 1709)

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.

Keywords

Brownian Motion Maximal Correlation Exponential Random Variable Singular Contribution Bounded Path 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag 1999

Authors and Affiliations

  • J. Warren
    • 1
  1. 1.University of WarwickUK

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