Optimal coupling of jumpy Brownian motion on the circle

DOI10.1017/JPR.2023.38MaRDI QIDQ6198958zbMATH OpenFDO

Authors Stephen B. Connor

Publication date 23 February 2024

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2203.14791, https://eprints.whiterose.ac.uk/199017/1/JumpyBM_AAP_aptstyle.pdf

zbMATH Keywords

co-adapted couplingHamilton-Jacobi-Bellman equationmaximal couplingmirror and synchronous couplingstochastic control

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Brownian motion (60J65) Optimal stochastic control (93E20)

Abstract: Consider a Brownian motion on the circumference of the unit circle, which jumps to the opposite point of the circumference at incident times of an independent Poisson process of rate $lambda$. We examine the problem of coupling two copies of this `jumpy Brownian motion' started from different locations, so as to optimise certain functions of the coupling time. We describe two intuitive co-adapted couplings (`Mirror' and `Synchronous') which differ only when the two processes are directly opposite one another, and show that the question of which strategy is best depends upon the jump rate $lambda$ in a non-trivial way. More precisely, we use the theory of stochastic control to show that there exists a critical value $lambd{a}^{s}tar=0.083dots$ such that the Mirror coupling minimises the mean coupling time within the class of all co-adapted couplings when $lambda<lambd{a}^{s}tar$, but for $lambdagelambd{a}^{s}tar$ the Synchronous coupling uniquely maximises the Laplace transform $mathbbE[e^{-gammaT}]$ of all coupling times $T$ within this class. We also provide an explicit description of a (non co-adapted) maximal coupling for any jump rate in the case that the two jumpy Brownian motions begin at antipodal points of the circle.

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