2016/01/27 by Hatem Hajri, Hajri, Hatem, Marc Arnaudon +1
Economics, Econometrics and Finance · Mathematics · Physics and Astronomy · #Stochastic processes and financial applications #Stochastic processes and statistical mechanics #Theoretical and Computational Physics #math.PR
paper · pdf · doi:10.48550/arxiv.1601.07326
arxiv created 2017/12/13 · arxiv updated 2017/12/14
Inspired by Tsirelson proof of the non Brownian character of WalshBrownian motion ltration on three or more rays, we prove some results on aparticular coupling of solutions to the interface SDE on a star graph, recentlyintroduced. This coupling consists in two solutions which are independentgiven the driving Brownian motion. As a consequence, we deduce that if the stargraph contains 3 or more rays, the argument of the solution at a xed time isindependent of the driving Brownian motion.