Optimal coupling of jumpy Brownian motion on the circle

DOI10.1017/JPR.2023.38arXiv2203.14791MaRDI QIDQ6198958

Stephen B. Connor, Unnamed Author

Publication date: 23 February 2024

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2203.14791

zbMATH Keywords

Hamilton-Jacobi-Bellman equationstochastic controlmaximal couplingco-adapted couplingmirror and synchronous coupling

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Brownian motion (60J65) Optimal stochastic control (93E20)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Maximal coupling of Euclidean Brownian motions
• Brownian couplings, convexity, and shyness
• Coupling of multidimensional diffusions by reflection
• Coupling, local times, immersions
• Rigidity for Markovian maximal couplings of elliptic diffusions
• Mirror and synchronous couplings of geometric Brownian motions
• On uniqueness of maximal coupling for diffusion processes with a reflection
• Optimal Co-Adapted Coupling for the Symmetric Random Walk on the Hypercube
• A maximal coupling for Markov chains
• On coupling of Markov chains
• Maximal coupling
• Optimal Coadapted Coupling for a Random Walk on the Hyper-Complete Graph
• Applied stochastic control of jump diffusions

This page was built for publication: Optimal coupling of jumpy Brownian motion on the circle