Coupling time distribution asymptotics for some couplings of the Levy stochastic area

zbMath1213.60131arXiv1002.4348MaRDI QIDQ3078004

Wilfrid S. Kendall

Publication date: 18 February 2011

Full work available at URL: https://arxiv.org/abs/1002.4348

zbMATH Keywords

Brownian motionsynchronous couplingmaximal couplingexponential functional of Brownian motionstochastic differentialco-adapted couplingreflection couplingcoupling time distributionKolmogorov diffusionDufresne formulaLevy stochastic areaMorse-Thue sequencenon-co-adapted couplingrotation coupling

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65)

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