Pairwise near-maximal grand coupling of Brownian motions

DOI10.1214/21-AIHP1209zbMATH Open1493.60118arXiv1912.06956OpenAlexW2995167585MaRDI QIDQ2157449FDOQ2157449

Cheuk Ting Li, Venkat Anantharam

Publication date: 22 July 2022

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Abstract: The well-known reflection coupling gives a maximal coupling of two one-dimensional Brownian motions with different starting points. Nevertheless, the reflection coupling does not generalize to more than two Brownian motions. In this paper, we construct a coupling of all Brownian motions with all possible starting points (i.e., a grand coupling), such that the coupling for any pair of the coupled processes is close to being maximal, that is, the distribution of the coupling time of the pair approaches that of the maximal coupling as the time tends to $0$ or $infty$, and the coupling time of the pair is always within a multiplicative factor $2e^2$ from the maximal one. We also show that a grand coupling that is pairwise exactly maximal does not exist.

Full work available at URL: https://arxiv.org/abs/1912.06956

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zbMATH Keywords

Brownian motionBessel processmaximal couplingreflection couplinggrand coupling

Mathematics Subject Classification ID

Brownian motion (60J65)

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Cited In (4)

• Characterization of maximal Markovian couplings for diffusion processes
• On uniqueness of maximal coupling for diffusion processes with a reflection
• Shy couplings
• Mirror and synchronous couplings of geometric Brownian motions

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