Coupling all the L\'{e}vy stochastic areas of multidimensional Brownian motion
Probability
2011-11-10 v2
Abstract
It is shown how to construct a successful co-adapted coupling of two copies of an -dimensional Brownian motion while simultaneously coupling all corresponding copies of L\'{e}vy stochastic areas . It is conjectured that successful co-adapted couplings still exist when the L\'{e}vy stochastic areas are replaced by a finite set of multiply iterated path- and time-integrals, subject to algebraic compatibility of the initial conditions.
Keywords
Cite
@article{arxiv.math/0512336,
title = {Coupling all the L\'{e}vy stochastic areas of multidimensional Brownian motion},
author = {Wilfrid S. Kendall},
journal= {arXiv preprint arXiv:math/0512336},
year = {2011}
}
Comments
Published at http://dx.doi.org/10.1214/009117906000001196 in the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org)