The noise of a Brownian sticky flow is black
Yves Le Jan, Olivier Raimond
TL;DR
This paper proves that the noise generated by a Brownian sticky flow, as defined in prior work, is 'black', meaning it has no non-trivial predictable functions, in the sense of Tsirelson.
Contribution
It establishes that the noise of a Brownian sticky flow is black, providing a significant insight into its structural properties.
Findings
The noise of the Brownian sticky flow is black.
The result connects the flow's properties with Tsirelson's theory of noise.
It advances understanding of stochastic flows and their associated noise structures.
Abstract
In this note, it is proved that the noise (in the sense of Tsirelson) generated by a Brownian sticky flow (as defined in math.PR/0211387) is black.
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Taxonomy
TopicsStochastic processes and financial applications · Economic theories and models · Risk and Portfolio Optimization