Coupling of multidimensional diffusions by reflection
From MaRDI portal
Publication:1076427
DOI10.1214/aop/1176992442zbMath0593.60076OpenAlexW1984501203MaRDI QIDQ1076427
L. C. G. Rogers, Torgny Lindvall
Publication date: 1986
Published in: The Annals of Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aop/1176992442
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Diffusion processes (60J60) Probabilistic potential theory (60J45) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
Related Items
A condition for the equivalence of coupling and shift coupling., Dispersion rates under finite mode Kolmogorov flows, A probabilistic approach to Martin boundaries for manifolds with ends, Lipschitz Regularity of Graph Laplacians on Random Data Clouds, Diffusion semigroup on manifolds with time-dependent metrics, A stochastic target approach to Ricci flow on surfaces, \(L^{p}\)-Wasserstein distance for stochastic differential equations driven by Lévy processes, A probabilistic proof of the fundamental gap conjecture via the coupling by reflection, Hölder estimates for magnetic Schrödinger semigroups in \(\mathbb{R}^d\) from mirror coupling, Nonnegative ricci curvature and the brownian coupling property, Coupling all the Lévy stochastic areas of multidimensional Brownian motion, On the martingale problem and Feller and strong Feller properties for weakly coupled Lévy type operators, Stochastic differential geometry: An introduction, Exchanging the order of two operations on sigma-fields, On the control of the difference between two Brownian motions: a dynamic copula approach, Coupling for some partial differential equations driven by white noise, Sampling from a log-concave distribution with projected Langevin Monte Carlo, Reflection couplings and contraction rates for diffusions, Coupling by reflection and Hölder regularity for non-local operators of variable order, Coupling and harmonic functions in the case of continuous time Markov processes, Finite state mean field games with Wright-Fisher common noise, Semi Log-Concave Markov Diffusions, Geometric ergodicity of the bouncy particle sampler, Coupling, spectral gap and related topics. I, Regularity for nonlinear stochastic games, Monotonicity of time-dependent transportation costs and coupling by reflection, Maximal coupling of Euclidean Brownian motions, Coupling with compensators, Coupling and exponential ergodicity for stochastic differential equations driven by Lévy processes, Collisions of random walks, Explicit contraction rates for a class of degenerate and infinite-dimensional diffusions, Optimal markovian couplings and applications, Hölder and Lipschitz continuity of the solutions to parabolic equations of the non-divergence type, Quantifying the Dissipation Enhancement of Cellular Flows, Concurrent Donsker-Varadhan and hydrodynamical large deviations, Coupling by reflection for controlled diffusion processes: turnpike property and large time behavior of Hamilton-Jacobi-Bellman equations, Decay rates of convergence for Fokker-Planck equations with confining drift, The Robin mean value equation. II: Asymptotic Hölder regularity, Shy and fixed-distance couplings of Brownian motions on manifolds, On Unbiased Estimation for Discretized Models, Convergence rate to equilibrium in Wasserstein distance for reflected jump-diffusions, Asymptotic regularity for a random walk over ellipsoids, Optimal coupling of jumpy Brownian motion on the circle, Hölder regularity for stochastic processes with bounded and measurable increments, Mirror and synchronous couplings of geometric Brownian motions, Coupling for Markovian switching jump-diffusions, Reflection coupling and Wasserstein contractivity without convexity, Decompositions of Diffusion Operators and Related Couplings, Invariant Measures and Euler--Maruyama's Approximations of State-Dependent Regime-Switching Diffusions, Successful couplings for diffusion processes with state-dependent switching, Criteria for Exponential Convergence to Quasi-Stationary Distributions and Applications to Multi-Dimensional Diffusions, An elementary approach to uniform in time propagation of chaos, Coupling for Ornstein-Uhlenbeck processes with jumps, Minimizing the time to a decision, Numerical computations of geometric ergodicity for stochastic dynamics, Gradient estimates on manifolds using coupling, Quantitative Harris-type theorems for diffusions and McKean–Vlasov processes, Using Coupling Methods to Estimate Sample Quality of Stochastic Differential Equations, Coupling of Brownian motions in Banach spaces, Existence and uniqueness of reflecting diffusions in cusps, Coupling polynomial Stratonovich integrals: the two-dimensional Brownian case, A coupling of Brownian motions in the \(\mathcal{L}_0\)-geometry, Tug-of-war games with varying probabilities and the normalized \(p(x)\)-Laplacian, Diffusion processes in thin tubes and their limits on graphs, Spatial coupling of neutral measure-valued population models, Constructions of coupling processes for Lévy processes, Gradient estimates for diffusion semigroups with singular coefficients, Asymptotic couplings by reflection and applications for nonlinear monotone SPDEs, Exponential ergodicity for general continuous-state nonlinear branching processes, A unified approach to coupling SDEs driven by Lévy noise and some applications, Transportation inequalities for non-globally dissipative SDEs with jumps via Malliavin calculus and coupling, Sticky couplings of multidimensional diffusions with different drifts, Couplings of Brownian motions of deterministic distance in model spaces of constant curvature, Uniform ergodicity for Brownian motion in a bounded convex set, Gradient estimates and ergodicity for SDEs driven by multiplicative Lévy noises via coupling, Exponential convergence in Lp-Wasserstein distance for diffusion processes without uniformly dissipative drift, High-dimensional Bayesian inference via the unadjusted Langevin algorithm, Asymptotic Lipschitz regularity for tug-of-war games with varying probabilities, Couplings and quantitative contraction rates for Langevin dynamics, Hölder estimates for resolvents of time-changed Brownian motions, Propagation of chaos: a review of models, methods and applications. I: Models and methods, Asymptotic Hölder regularity for the ellipsoid process, Arithmetic of (independent) sigma-fields on probability spaces, Estimation of spectral gap for elliptic operators, Coupling and ergodic theorems for Fleming-Viot processes, Coupling, local times, immersions, Mixing time guarantees for unadjusted Hamiltonian Monte Carlo, On Feller and Strong Feller Properties and Exponential Ergodicity of Regime-Switching Jump Diffusion Processes with Countable Regimes, Coupling and Exponential Convergence Rate for Markovian Switching Jump Diffusions, Algebraic convergence of diffusion processes on \(\mathbb R^n\) with radial diffusion and drift coefficients
