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2018 Coupling polynomial Stratonovich integrals: the two-dimensional Brownian case
Sayan Banerjee, Wilfrid Kendall
Electron. J. Probab. 23(none): 1-43 (2018). DOI: 10.1214/18-EJP150

Abstract

We show how to build an immersion coupling of a two-dimensional Brownian motion $(W_1, W_2)$ along with \(\binom{n} {2} + n= \tfrac 12n(n+1)\). integrals of the form $\int W_1^iW_2^j \circ{\operatorname {d}} W_2$, where $j=1,\ldots ,n$ and $i=0, \ldots , n-j$ for some fixed $n$. The resulting construction is applied to the study of couplings of certain hypoelliptic diffusions (driven by two-dimensional Brownian motion using polynomial vector fields). This work follows up previous studies concerning coupling of Brownian stochastic areas and time integrals (Ben Arous, Cranston and Kendall (1995), Kendall and Price (2004), Kendall (2007), Kendall (2009), Kendall (2013), Banerjee and Kendall (2015), Banerjee, Gordina and Mariano (2016)) and is part of an ongoing research programme aimed at gaining a better understanding of when it is possible to couple not only diffusions but also multiple selected integral functionals of the diffusions.

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Sayan Banerjee. Wilfrid Kendall. "Coupling polynomial Stratonovich integrals: the two-dimensional Brownian case." Electron. J. Probab. 23 1 - 43, 2018. https://doi.org/10.1214/18-EJP150

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Vol.23 • 2018
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