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Coupling Iterated Kolmogorov Diffusions

Dublin Core		PKP Metadata Items	Metadata for this Document
1.	Title	Title of document	Coupling Iterated Kolmogorov Diffusions
2.	Creator	Author's name, affiliation, country	Wilfrid S Kendall; University of Warwick
2.	Creator	Author's name, affiliation, country	Catherine J. Price; Lehman Brothers
3.	Subject	Discipline(s)
3.	Subject	Keyword(s)
4.	Description	Abstract	The Kolmogorov-1934 diffusion is the two-dimensional diffusion generated by real Brownian motion and its time integral. In this paper we construct successful co-adapted couplings for iterated Kolmogorov diffusions defined by adding iterated time integrals as further components to the original Kolmogorov diffusion. A Laplace-transform argument shows it is not possible successfully to couple all iterated time integrals at once; however we give an explicit construction of a successful co-adapted coupling method for Brownian motion, its time integral, and its twice-iterated time integral; and a more implicit construction of a successful co-adapted coupling method which works for finite sets of iterated time integrals.
5.	Publisher	Organizing agency, location
6.	Contributor	Sponsor(s)
7.	Date	(YYYY-MM-DD)	2004-04-29
8.	Type	Status & genre	Peer-reviewed Article
8.	Type	Type
9.	Format	File format	PDF
10.	Identifier	Uniform Resource Identifier	http://ejp.ejpecp.org/article/view/201
10.	Identifier	Digital Object Identifier	10.1214/EJP.v9-201
11.	Source	Journal/conference title; vol., no. (year)	Electronic Journal of Probability; Vol 9
12.	Language	English=en
14.	Coverage	Geo-spatial location, chronological period, research sample (gender, age, etc.)
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