The Library
Coupling all the Levy stochastic areas of multidimensional Brownian motion
Tools
Kendall, W. S. (2007) Coupling all the Levy stochastic areas of multidimensional Brownian motion. Annals of Probability, Vol.35 (No.3). pp. 935-953. doi:10.1214/009117906000001196 ISSN 0091-1798.
Research output not available from this repository.
Request-a-Copy directly from author or use local Library Get it For Me service.
Official URL: http://dx.doi.org/10.1214/009117906000001196
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 Levy stochastic areas integral B-i d B-j - integral B-j dB(i). It is conjectured that successful co-adapted couplings still exist when the Levy stochastic areas are replaced by a finite set of multiply iterated path- and time-integrals, subject to algebraic compatibility of the initial conditions.
Item Type: | Journal Article | ||||
---|---|---|---|---|---|
Subjects: | Q Science > QA Mathematics | ||||
Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | ||||
Journal or Publication Title: | Annals of Probability | ||||
Publisher: | Institute of Mathematical Statistics | ||||
ISSN: | 0091-1798 | ||||
Official Date: | May 2007 | ||||
Dates: |
|
||||
Volume: | Vol.35 | ||||
Number: | No.3 | ||||
Number of Pages: | 19 | ||||
Page Range: | pp. 935-953 | ||||
DOI: | 10.1214/009117906000001196 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Restricted or Subscription Access |
Data sourced from Thomson Reuters' Web of Knowledge
Request changes or add full text files to a record
Repository staff actions (login required)
View Item |