This article is cited in 2 papers

Discrete time approximation of coalescing stochastic flows on the real line

I. I. Nishchenko

National Technical University of Ukraine "KPI", 37, Pr. Peremogi, Kiev 02056, Ukraine

Abstract: We have constructed an approximation for the Harris and Arratia flows using a sequence of independent stationary Gaussian processes as a perturbation. We have established which relationship should be between the step of approximation and the smoothness of the covariance of perturbing processes in order that the approximating functions converge to the Arratia flow.

Keywords: Stochastic flow, stochastic differential equation, numerical approximation.

MSC: 60H10, 60G46

Language: English

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