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October 2002 Chasing balls through martingale fields
Michael Scheutzow, David Steinsaltz
Ann. Probab. 30(4): 2046-2080 (October 2002). DOI: 10.1214/aop/1039548381


We consider the way sets are dispersed by the action of stochastic flows derived from martingale fields. Under fairly general continuity and ellipticity conditions, the following dichotomy result is shown: any nontrivial connected set $\mathcal{X}$ either contracts to a point under the action of the flow, or its diameter grows linearly in time, with speed at least a positive deterministic constant $\gL$. The linear growth may further be identified (again, almost surely), with a much stronger behavior, which we call "ball-chasing'': if $\psi$ is any path with Lipschitz constant smaller than $\gL$, the ball of radius $\gep$ around $\psi(t)$ contains points of the image of $\mathcal{X}$ for an asymptotically positive fraction of times $t$. If the ball grows as the logarithm of time, there are individual points in $\mathcal{X}$ whose images eventually remain in the ball.


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Michael Scheutzow. David Steinsaltz. "Chasing balls through martingale fields." Ann. Probab. 30 (4) 2046 - 2080, October 2002.


Published: October 2002
First available in Project Euclid: 10 December 2002

zbMATH: 1017.60073
MathSciNet: MR1944015
Digital Object Identifier: 10.1214/aop/1039548381

Primary: 60H20

Keywords: dichotomy , exceptional points , linear expansion , Stochastic flows , submartingale inequalities , supermartingale inequalities

Rights: Copyright © 2002 Institute of Mathematical Statistics


Vol.30 • No. 4 • October 2002
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