Coupling the Kolmogorov diffusion: maximality and efficiency considerations

DOI10.1017/apr.2016.40zbMath1426.60036arXiv1506.04804OpenAlexW2963467286MaRDI QIDQ5197394

Wilfrid S. Kendall, Sayan Banerjee

Publication date: 23 September 2019

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1506.04804

zbMATH Keywords

Karhunen-Loève expansionsynchronous couplingmaximal couplingMarkovian couplingreflection couplingKolmogorov diffusionnilpotent diffusionoptimal Markovian couplingimmersed coupling

Mathematics Subject Classification ID

Diffusion processes (60J60) Foundations of stochastic processes (60G05)

Related Items (6)

Coupling in the Heisenberg group and its applications to gradient estimates ⋮ Small-time fluctuations for the bridge in a model class of hypoelliptic diffusions of weak Hörmander type ⋮ Gradient bounds for Kolmogorov type diffusions ⋮ Unnamed Item ⋮ Coupling polynomial Stratonovich integrals: the two-dimensional Brownian case ⋮ Couplings and quantitative contraction rates for Langevin dynamics

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Faithful couplings of Markov chains: Now equals forever
• Efficient Markovian couplings: Examples and counterexamples
• Extreme value theory for stochastic integrals of Legendre polynomials
• Characterization of maximal Markovian couplings for diffusion processes
• Shift-coupling in continuous time
• Integrated Brownian motion, conditioned to be positive
• Coupling iterated {K}olmogorov diffusions
• Two inequalities for iterated stochastic integrals
• Coupling, local times, immersions
• Rigidity for Markovian maximal couplings of elliptic diffusions
• Coupling all the Lévy stochastic areas of multidimensional Brownian motion
• A Gibbs sampler on the \(n\)-simplex
• Müntz linear transforms of Brownian motion
• Poisson boundary of a relativistic diffusion
• A winding problem for a resonator driven by a white noise
• On the area under a continuous time Brownian motion till its first-passage time
• Coupling time distribution asymptotics for some couplings of the Levy stochastic area
• Optimally Coupling the Kolmogorov Diffusion, and Related Optimal Control Problems
• A maximal coupling for Markov chains
• On coupling of Markov chains
• Maximal coupling
• Computing the covariance of two Brownian area integrals
• Stochastic Equations in Infinite Dimensions

This page was built for publication: Coupling the Kolmogorov diffusion: maximality and efficiency considerations