Constructing Maximal Germ Couplings of Brownian Motions with Drift
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arXiv
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| Main Authors: | , |
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| Format: | Preprint |
| Published: |
2023
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| Subjects: | |
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| _version_ | 1866908430184218624 |
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| author | Hummel, Sebastian Jaffe, Adam Quinn |
| author_facet | Hummel, Sebastian Jaffe, Adam Quinn |
| contents | Consider all the possible ways of coupling together two Brownian motions with the same starting position but with different drifts onto the same probability space. It is known that there exist couplings which make these processes agree for some random, positive, maximal initial length of time. Presently, we provide an explicit, elementary construction of such couplings. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2309_16922 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | Constructing Maximal Germ Couplings of Brownian Motions with Drift Hummel, Sebastian Jaffe, Adam Quinn Probability 60J65, 60H35, 65C30 Consider all the possible ways of coupling together two Brownian motions with the same starting position but with different drifts onto the same probability space. It is known that there exist couplings which make these processes agree for some random, positive, maximal initial length of time. Presently, we provide an explicit, elementary construction of such couplings. |
| title | Constructing Maximal Germ Couplings of Brownian Motions with Drift |
| topic | Probability 60J65, 60H35, 65C30 |
| url | https://arxiv.org/abs/2309.16922 |