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2005 On the Duality between Coalescing Brownian Particles and the Heat Equation Driven by Fisher-Wright Noise
Tim Hobson, Rodge Tribe
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Electron. Commun. Probab. 10: 136-145 (2005). DOI: 10.1214/ECP.v10-1143

Abstract

This paper concerns the Markov process duality between the one-dimensional heat equation driven by Fisher-Wright white noise and slowly coalescing Brownian particles. A representation is found for the law of the solution $x \to U(t,x)$ to the stochastic PDE, at a fixed time, in terms of a labelled system of such particles.

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Tim Hobson. Rodge Tribe. "On the Duality between Coalescing Brownian Particles and the Heat Equation Driven by Fisher-Wright Noise." Electron. Commun. Probab. 10 136 - 145, 2005. https://doi.org/10.1214/ECP.v10-1143

Information

Accepted: 13 July 2005; Published: 2005
First available in Project Euclid: 4 June 2016

zbMATH: 1111.60073
MathSciNet: MR2162813
Digital Object Identifier: 10.1214/ECP.v10-1143

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