Couplings of Brownian motions with set-valued dual processes on Riemannian manifolds (Q6122624): Difference between revisions

The authors' aim is to construct a Brownian motion \((X_t)_{t\geq 0} \) taking values in a Riemannian manifold \(M\), together with a compact set-valued process \((D_t)_{t\geq 0}\) such that, at least for small enough \(F^D\)-stopping time \(\tau> 0\) and conditioned by \(F^D_\tau,\) the law of \(X_{\tau}\) is the normalized Lebesgue measure on \(D_{\tau}.\) This intertwining result is a generalization of Pitman's theorem. \newline The authors first construct regular intertwined processes related to Stokes' theorem. Then, using several limiting procedures, they construct synchronous intertwined, free intertwined, mirror intertwined processes. The local times of the Brownian motion on the morphological skeleton or the boundary of each \(D_t\) play an important role. \newline Several examples with moving intervals, discs, annuli and symmetric convex sets are investigated.