Mirror and synchronous couplings of geometric Brownian motions

DOI10.1016/j.spa.2013.10.003zbMath1284.60149arXiv1304.1999OpenAlexW1979798422MaRDI 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

zbMATH Keywords

Bellman's principleoptimal couplinggeometric Brownian motionscoupling timeefficient couplingmirror and synchronous coupling

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Diffusion processes (60J60)

Related Items (2)

On the construction of measure-valued dual processes ⋮ Optimal coupling of jumpy Brownian motion on the circle

Cites Work

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• Mirror coupling of reflecting Brownian motion and an application to Chavel's conjecture
• Efficient Markovian couplings: Examples and counterexamples
• Coupling of multidimensional diffusions by reflection
• On Neumann eigenfunctions in lip domains

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