Consistent Families of Brownian Motions and Stochastic Flows of Kernels

Abstract. Consider the following mechanism for the random evolution of a distribution of mass on the integer lattice Z. At unit rate, independently for each site, the mass at the site is split into two parts by choosing a random proportion distributed according to some specified probability measure on [0, 1] and dividing the mass in that proportion. One part then moves to each of the two adjacent sites. This paper considers a continuous analogue of this evolution, which may be described by means of a stochastic flow of kernels, the theory of which was developed by Le Jan and Raimond. One of their results is that such a flow is characterized by specifying its N point motions, which form a consistent family of Brownian motions. This means for each dimension N we have a diffusion in R , whose N co-ordinates are all Brownian motions. Any M co-ordinates taken from the Ndimensional process are distributed as the M -dimensional process in the family. Moreover, in this setting, the only interactions between co-ordinates are local: when co-ordinates differ in value they evolve independently of each other. In this paper we explain how such multidimensional diffusions may be constructed and characterized via martingale problems.