Coupling iterated {K}olmogorov diffusions

DOI10.1214/EJP.V9-201zbMATH Open1067.60079OpenAlexW2096524716MaRDI QIDQ1767540FDOQ1767540

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

Mathematics Subject Classification ID

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

Cited In (9)

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

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