Stochastic integral over the arratia flow
The Arratia flow is a model for sticky Brownian particles which consists in a family \((X(u,t))_{(u,t)\in {\mathbb R}\times [0,1]}\) of standard Wiener processes \((X(u,t))_{t \in [0,1]}\) starting at \(u\in {\mathbb R}\) under the conditioning \(X(u_1,t)\leq \cdots X(u_n,t)\) for all \(u_1<\cdots < u_n\), \(n\geq 1\), and \(t\in [0,1]\). By a limiting procedure the author constructs a stochastic integral of bounded adapted random functions \((u,t)\mapsto \eta (u,t)\) with respect to the Arratia flow and its associated quadratic variation. He then uses this integral to state a Girsanov type theorem for Arratia flows, proved elsewhere with T. V. Malovichko.
- Itô-Wiener expansion for functionals of the Arratia's flow n-point motion
- On some random integral operators generated by an Arratia flow
- Convergence of solutions of stochastic differential equations to the Arratia flow
- Local time at zero for Arratia flow
- Representations of the finite-dimensional point densities in Arratia flows with drift
- Level-crossing intensity for the density of the image of Lebesgue measure under the action of a Brownian stochastic flow
- Local time at zero for Arratia flow
- Levy downcrossing theorem for the Arratia flow
- Itô-Wiener expansion for functionals of the Arratia's flow n-point motion
- On some random integral operators generated by an Arratia flow
- Modified massive Arratia flow and Wasserstein diffusion
- Entropy of stochastic flows
- On asymptotic behavior of the modified Arratia flow
- Convergence of solutions of stochastic differential equations to the Arratia flow
- Iterated logarithm law for sizes of clusters in Arratia flow
- Disordering asymptotics in the discrete approximation of an Arratia flow
- Representations of the finite-dimensional point densities in Arratia flows with drift
- Gaussian structure in coalescing stochastic flows
- Products of beta matrices and sticky flows
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