Coupling of Brownian motions in Banach spaces
Abstract
Consider a separable Banach space supporting a non-trivial Gaussian measure . The following is an immediate consequence of the theory of Gaussian measure on Banach spaces: there exist (almost surely) successful couplings of two -valued Brownian motions and begun at starting points and if and only if the difference of their initial positions belongs to the Cameron-Martin space of corresponding to . For more general starting points, can there be a "coupling at time ", such that almost surely as ? Such couplings exist if there exists a Schauder basis of which is also a -orthonormal basis of . 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 is always possible" purely in terms of Banach space geometry?
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}
}
Comments
12 pages