Sticky couplings of multidimensional diffusions with different drifts

DOI10.1214/18-AIHP951MaRDI QIDQ2291973zbMATH OpenOpenAlexFDO

Authors Andreas Eberle, Raphael Zimmer

Publication date 31 January 2020

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

Full work available at URL https://arxiv.org/abs/1612.06125, https://projecteuclid.org/euclid.aihp/1573203632

zbMATH Keywords

diffusion processstochastic stabilityreflection couplingperturbations of Markov processesMcKean-Vlasovsticky boundary conditionstotal variation bounds

Mathematics Subject Classification ID

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

Abstract: We present a novel approach of coupling two multidimensional and non-degenerate It^o processes $(X_t)$ and $(Y_t)$ which follow dynamics with different drifts. Our coupling is sticky in the sense that there is a stochastic process $(r_t)$, which solves a one-dimensional stochastic differential equation with a sticky boundary behavior at zero, such that almost surely $|X_t-Y_t|leq{r}_t$ for all $tgeq0$. The coupling is constructed as a weak limit of Markovian couplings. We provide explicit, non-asymptotic and long-time stable bounds for the probability of the event $X_t=Y_t$.

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Cited in

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