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Coupling the Kolmogorov diffusion: maximality and efficiency considerations

  • Sayan Banerjee (a1) and Wilfrid S. Kendall (a1)

Abstract

This is a case study concerning the rate at which probabilistic coupling occurs for nilpotent diffusions. We focus on the simplest case of Kolmogorov diffusion (Brownian motion together with its time integral or, more generally, together with a finite number of iterated time integrals). We show that in this case there can be no Markovian maximal coupling. Indeed, there can be no efficient Markovian coupling strategy (efficient for all pairs of distinct starting values), where the notion of efficiency extends the terminology of Burdzy and Kendall (2000). Finally, at least in the classical case of a single time integral, it is not possible to choose a Markovian coupling that is optimal in the sense of simultaneously minimizing the probability of failing to couple by time t for all positive t. In recompense for all these negative results, we exhibit a simple efficient non-Markovian coupling strategy.

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Corresponding author

Department of Statistics, University of Warwick, Coventry CV4 7AL, UK. Email address: sayan.banerjee@warwick.ac.uk
Department of Statistics, University of Warwick, Coventry CV4 7AL, UK. Email address: w.s.kendall@warwick.ac.uk

References

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Coupling the Kolmogorov diffusion: maximality and efficiency considerations

  • Sayan Banerjee (a1) and Wilfrid S. Kendall (a1)

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