Sticky couplings of multidimensional diffusions with different drifts

DOI10.1214/18-AIHP951zbMATH Open1434.60213arXiv1612.06125OpenAlexW2984324961MaRDI QIDQ2291973FDOQ2291973

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)

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 $X_t=Y_t$.

Full work available at URL: https://arxiv.org/abs/1612.06125

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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)

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Cited In (18)

• Coupling by reflection for controlled diffusion processes: turnpike property and large time behavior of Hamilton-Jacobi-Bellman equations
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