Coupling iterated {K}olmogorov diffusions

DOI10.1214/EJP.v9-201zbMath1067.60079OpenAlexW2096524716MaRDI QIDQ1767540

Catherine J. Price, Wilfrid S. Kendall

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

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

Related Items (7)

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

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