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}
}
Comments
23 pages