English

Optimal Markovian coupling for finite activity L\'evy processes

Probability 2022-10-21 v1

Abstract

We study optimal Markovian couplings of Markov processes, where the optimality is understood in terms of minimization of concave transport costs between the time-marginal distributions of the coupled processes. We provide explicit constructions of such optimal couplings for one-dimensional finite-activity L\'evy processes (continuous-time random walks) whose jump distributions are unimodal but not necessarily symmetric. Remarkably, the optimal Markovian coupling does not depend on the specific concave transport cost. To this end, we combine McCann's results on optimal transport and Rogers' results on random walks with a novel uniformization construction that allows us to characterize all Markovian couplings of finite-activity L\'evy processes. In particular, we show that the optimal Markovian coupling for finite-activity L\'evy processes with non-symmetric unimodal L\'evy measures has to allow for non-simultaneous jumps of the two coupled processes.

Keywords

Cite

@article{arxiv.2210.11251,
  title  = {Optimal Markovian coupling for finite activity L\'evy processes},
  author = {Wilfrid S. Kendall and Mateusz B. Majka and Aleksandar Mijatović},
  journal= {arXiv preprint arXiv:2210.11251},
  year   = {2022}
}

Comments

23 pages, 2 figures

R2 v1 2026-06-28T04:05:12.313Z