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Treffer: Coupling Methods for Multidimensional Diffusion Processes

Title:
Coupling Methods for Multidimensional Diffusion Processes
Authors:
Chen, Mu-Fa, Li, Shao-Fu
Publisher Information:
The Institute of Mathematical Statistics
Publication Year:
1989
Collection:
Project Euclid (Cornell University Library)
Subject Terms:
Coupling, coupling operator, probability metric, coupling time, multidimensional diffusion, martingale approach, 60J60, 60J65, 60H10, 60J45, 60J70
Document Type:
Fachzeitschrift text
File Description:
application/pdf
Language:
English
ISSN:
0091-1798
Relation:
http://projecteuclid.org/euclid.aop/1176991501; Ann. Probab. 17, no. 1 (1989), 151-177
DOI:
10.1214/aop/1176991501
Availability:
http://projecteuclid.org/euclid.aop/1176991501
https://doi.org/10.1214/aop/1176991501
Rights:
Copyright 1989 Institute of Mathematical Statistics
Accession Number:
edsbas.11A726AD
Database:
BASE

Weitere Informationen

In this paper, coupling methods for diffusion processes are studied mainly to obtain upper bound estimates in two different probability metrics. We use the martingale approach and explore the construction of explicit coupling operators which are sometimes optimal. The paper presents some criteria for the success of coupling and for the finiteness of the moments of the coupling times. Rates of convergence in various metrics are also studied.