Mirror and synchronous couplings of geometric Brownian motions
From MaRDI portal
Publication:2434755
DOI10.1016/j.spa.2013.10.003zbMath1284.60149arXiv1304.1999OpenAlexW1979798422MaRDI QIDQ2434755
Dejan Širaj, Aleksandar Mijatović, S. D. Jacka
Publication date: 7 February 2014
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1304.1999
Bellman's principleoptimal couplinggeometric Brownian motionscoupling timeefficient couplingmirror and synchronous coupling
Related Items
On the construction of measure-valued dual processes, Optimal coupling of jumpy Brownian motion on the circle
Cites Work