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Coupling of Brownian motions in Banach spaces

Probability 2017-05-24 v1 Functional Analysis

Abstract

Consider a separable Banach space W \mathcal{W} supporting a non-trivial Gaussian measure μ\mu. The following is an immediate consequence of the theory of Gaussian measure on Banach spaces: there exist (almost surely) successful couplings of two W\mathcal{W}-valued Brownian motions B \mathbf{B} and B~\widetilde{\mathbf{B}} begun at starting points B(0)\mathbf{B}(0) and B~(0)\widetilde{\mathbf{B}}(0) if and only if the difference B(0)B~(0)\mathbf{B}(0)-\widetilde{\mathbf{B}}(0) of their initial positions belongs to the Cameron-Martin space Hμ\mathcal{H}_{\mu} of W\mathcal{W} corresponding to μ\mu. For more general starting points, can there be a "coupling at time \infty", such that almost surely B(t)B~(t)W0\|\mathbf{B}(t)-\widetilde{\mathbf{B}}(t)\|_{\mathcal{W}} \to 0 as tt\to\infty? Such couplings exist if there exists a Schauder basis of W \mathcal{W} which is also a Hμ\mathcal{H}_{\mu} -orthonormal basis of Hμ\mathcal{H}_{\mu} . We propose (and discuss some partial answers to) the question, to what extent can one express the probabilistic Banach space property "Brownian coupling at time \infty is always possible" purely in terms of Banach space geometry?

Keywords

Cite

@article{arxiv.1705.08300,
  title  = {Coupling of Brownian motions in Banach spaces},
  author = {Elisabetta Candellero and Wilfrid S. Kendall},
  journal= {arXiv preprint arXiv:1705.08300},
  year   = {2017}
}

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12 pages