Mirror and synchronous couplings of geometric Brownian motions
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Publication:2434755
DOI10.1016/j.spa.2013.10.003zbMath1284.60149arXiv1304.1999MaRDI QIDQ2434755
Dejan Širaj, Aleksandar Mijatović, S. D. Jacka
Publication date: 7 February 2014
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1304.1999
Bellman's principle; optimal coupling; geometric Brownian motions; coupling time; efficient coupling; mirror and synchronous coupling
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