DOCUMENTA MATHEMATICA, Extra Volume ICM III (1998), 311-320

Boris Tsirelson

Title: Within and Beyond the Reach of Brownian Innovation

Given a system whose time evolution is random, we often try to describe it as a deterministic system under independent random influences. Doing so, we reduce complicated statistical correlations to a complicated but deterministic mechanism, and a stochastic but uncorrelated noise. That is the idea of innovation. The corresponding mathematics is surprisingly interesting.

1991 Mathematics Subject Classification: 60G07; 60H10, 60J65.

Keywords and Phrases: innovation, filtration, cosiness, noise.

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