Coupling iterated {K}olmogorov diffusions

DOI10.1214/EJP.V9-201MaRDI QIDQ1767540zbMATH OpenOpenAlexFDO

Authors Wilfrid S. Kendall, Catherine J. Price

Publication date 8 March 2005

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

Full work available at URL https://eudml.org/doc/124920, http://www.emis.de/journals/EJP-ECP/_ejpecp/EjpVol9/paper13.abs.html

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Brownian motion (60J65)

Review text

A new and interesting method of co-adapted coupling for iterated Kolmogorov diffusions is introduced and successfully applied when considering iterated time integrals.

Cited in

(9)

• Coupling polynomial Stratonovich integrals: the two-dimensional Brownian case
• Pairwise near-maximal grand coupling of Brownian motions
• Coupling, local times, immersions
• Rigidity for Markovian maximal couplings of elliptic diffusions
• Coupling all the Lévy stochastic areas of multidimensional Brownian motion
• Optimally Coupling the Kolmogorov Diffusion, and Related Optimal Control Problems
• Kuzmin, coupling, cones, and exponential mixing
• Coupling the Kolmogorov diffusion: maximality and efficiency considerations
• Constructing maximal germ couplings of Brownian motions with drift

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