Coupling all the L\'{e}vy stochastic areas of multidimensional Brownian motion
classification
🧮 math.PR
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areascouplingstochasticbrownianco-adaptedcopiesmotionsuccessful
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It is shown how to construct a successful co-adapted coupling of two copies of an $n$-dimensional Brownian motion $(B_1,...,B_n)$ while simultaneously coupling all corresponding copies of L\'{e}vy stochastic areas $\int B_i dB_j-\int B_j dB_i$. It is conjectured that successful co-adapted couplings still exist when the L\'{e}vy stochastic areas are replaced by a finite set of multiply iterated path- and time-integrals, subject to algebraic compatibility of the initial conditions.
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