pith. sign in

arxiv: math/0512336 · v2 · pith:HSQ3QO6Nnew · submitted 2005-12-14 · 🧮 math.PR

Coupling all the L\'{e}vy stochastic areas of multidimensional Brownian motion

classification 🧮 math.PR
keywords areascouplingstochasticbrownianco-adaptedcopiesmotionsuccessful
0
0 comments X
read the original abstract

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.

This paper has not been read by Pith yet.

discussion (0)

Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.