Brownian motion on the Fubini extension space and applications

Abstract

We study a family of essentially pairwise independent Brownian motions indexed by a continuum of labels and show how the Fubini extension framework provides a rigorous way to represent such families as a single jointly measurable process. Within this framework, we address two main objectives: first, we show how a system of graphon stochastic differential equations can be reformulated as a single McKean-Vlasov type equation driven by a standard Brownian motion, which significantly facilitates its analysis. Second, we establish a Girsanov theorem for a continuum of essentially pairwise independent Brownian motions.