A simple example of black noise

DOI10.1016/S0007-4497(01)01101-0MaRDI QIDQ5956294zbMATH OpenFDO

Authors Shinzo Watanabe

Publication date 15 July 2002

Published in Bulletin des Sciences Mathématiques (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0007-4497(01)01101-0

zbMATH Keywords

black noiseDavis-Varaiya invariantsingular diffusion

Mathematics Subject Classification ID

General theory of stochastic processes (60G07) Martingales with continuous parameter (60G44) Diffusion processes (60J60) Interacting random processes; statistical mechanics type models; percolation theory (60K35)

Review text

The author gives an example of black noise in the sense of Tsirelson, whose proof is more qualitative (no estimates required) and simpler than in previous examples. The noise is based on a coalescing stochastic flow formed of independent particles, each obeying the law of a singular diffusion (that is, with speed measure singular with respect to the Lebesgue measure) before the collision with other particles, and the coalescence takes place at the collision. This noise is proved to be black by proving that its Davis-Varaiya invariant is singular to that of Brownian motion.

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Cites work

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Cited in

(3)

• The Brownian web is a two-dimensional black noise
• Simulation example of a black noise
• Fock structure of complete Boolean algebras of type I factors and of unital factorizations

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