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On the joining of sticky brownian motion

Questions de Filtrations

Part of the Lecture Notes in Mathematics book series (SEMPROBAB,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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© 1999 Springer-Verlag

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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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  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-66342-3

  • Online ISBN: 978-3-540-48407-3

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