English

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 nn-dimensional Brownian motion (B1,...,Bn)(B_1,...,B_n) while simultaneously coupling all corresponding copies of L\'{e}vy stochastic areas BidBjBjdBi\int B_i dB_j-\int B_j dB_i. 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)