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Coupling time distribution asymptotics for some couplings of the Lévy stochastic area
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Kendall, W. S. (2010) Coupling time distribution asymptotics for some couplings of the Lévy stochastic area. In: Bingham, N. H. and Goldie, C. M., (eds.) Probability and mathematical genetics : papers in honour of Sir John Kingman. London Mathematical Society lecture note series (No.378). Cambridge : Cambridge University Press, pp. 446-463. ISBN 9780521145770
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Official URL: http://webcat.warwick.ac.uk/record=b2347700~S1
Abstract
We exhibit some explicit co-adapted couplings for n-dimensional Brownian
motion and all its Lévy stochastic areas. In the two-dimensional case
we show how to derive exact asymptotics for the coupling time under
various mixed coupling strategies, using Dufresne's formula for the distribution
of exponential functionals of Brownian motion. This yields
quantitative asymptotics for the distributions of random times required
for certain simultaneous couplings of stochastic area and Brownian motion.
The approach also applies to higher dimensions, but will then lead
to upper and lower bounds rather than exact asymptotics.
Item Type: | Book Item | ||||
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Subjects: | Q Science > QA Mathematics | ||||
Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | ||||
Library of Congress Subject Headings (LCSH): | Brownian motion processes | ||||
Series Name: | London Mathematical Society lecture note series | ||||
Publisher: | Cambridge University Press | ||||
Place of Publication: | Cambridge | ||||
ISBN: | 9780521145770 | ||||
Book Title: | Probability and mathematical genetics : papers in honour of Sir John Kingman | ||||
Editor: | Bingham, N. H. and Goldie, C. M. | ||||
Official Date: | July 2010 | ||||
Dates: |
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Number: | No.378 | ||||
Number of Pages: | 528 | ||||
Page Range: | pp. 446-463 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Date of first compliant deposit: | 1 August 2016 | ||||
Date of first compliant Open Access: | 1 August 2016 |
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