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On uniqueness of maximal coupling for diffusion processes with a reflection

Probability 2007-05-23 v1

Abstract

A maximal coupling of two diffusion processes makes two diffusion particles meet as early as possible. We study the uniqueness of maximal couplings under a sort of "reflection structure" which ensures the existence of such couplings. In this framework, the uniqueness in the class of Markovian couplings holds for the Brownian motion on a Riemannian manifold whereas it fails in more singular cases. We also prove that a Kendall-Cranston coupling is maximal under the reflection structure.

Keywords

Cite

@article{arxiv.math/0701372,
  title  = {On uniqueness of maximal coupling for diffusion processes with a reflection},
  author = {Kazumasa Kuwada},
  journal= {arXiv preprint arXiv:math/0701372},
  year   = {2007}
}

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23 pages