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On the Duality between Coalescing Brownian Motions |
Canad. J. Math. 57(2005), 204-224
Published:2005-02-01
Printed: Feb 2005
Printed: Feb 2005
- Jie Xiong
- Xiaowen Zhou
Abstract
A duality formula is found for coalescing Brownian motions on the
real line. It is shown that the joint distribution of a coalescing
Brownian motion can be determined by another coalescing Brownian
motion running backward. This duality is used to study a
measure-valued process arising as the high density limit of the
empirical measures of coalescing Brownian motions.
| Keywords: | coalescing Brownian motions, duality, martingale problem, measure-valued processes |
| MSC Classifications: |
60J65 - Brownian motion [See also 58J65] 60G57 - Random measures |