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2009 Characterization of maximal Markovian couplings for diffusion processes
Kazumasa Kuwada
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Electron. J. Probab. 14: 633-662 (2009). DOI: 10.1214/EJP.v14-634

Abstract

Necessary conditions for the existence of a maximal Markovian coupling of diffusion processes are studied. A sufficient condition described as a global symmetry of the processes is revealed to be necessary for the Brownian motion on a Riemannian homogeneous space. As a result, we find many examples of a diffusion process which admits no maximal Markovian coupling. As an application, we find a Markov chain which admits no maximal Markovian coupling for specified starting points.

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Kazumasa Kuwada. "Characterization of maximal Markovian couplings for diffusion processes." Electron. J. Probab. 14 633 - 662, 2009. https://doi.org/10.1214/EJP.v14-634

Information

Accepted: 10 March 2009; Published: 2009
First available in Project Euclid: 1 June 2016

zbMATH: 1191.60080
MathSciNet: MR2486817
Digital Object Identifier: 10.1214/EJP.v14-634

Subjects:
Primary: 60H30
Secondary: 58J65 , 60J10 , 60J60

Keywords: diffusion process , Markov chain , Markovian coupling , maximal coupling

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