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Characterization of maximal Markovian couplings for diffusion processes


 
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1. Title Title of document Characterization of maximal Markovian couplings for diffusion processes
 
2. Creator Author's name, affiliation, country Kazumasa Kuwada; Ochanomizu University
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) Maximal coupling, Markovian coupling, diffusion process, Markov chain
 
3. Subject Subject classification 60H30,60J10,60J60,58J65
 
4. Description Abstract Necessary conditions for the existence of a maximal Markovian coupling of diffusion processes are studied. A sufficient condition described as a global symmetry of the processes is revealed to be necessary for the Brownian motion on a Riemannian homogeneous space. As a result, we find many examples of a diffusion process which admits no maximal Markovian coupling. As an application, we find a Markov chain which admits no maximal Markovian coupling for specified starting points.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s) Partially supported by the JSPS fellowship for research abroad
 
7. Date (YYYY-MM-DD) 2009-03-10
 
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/634
 
10. Identifier Digital Object Identifier 10.1214/EJP.v14-634
 
11. Source Journal/conference title; vol., no. (year) Electronic Journal of Probability; Vol 14
 
12. Language English=en
 
14. Coverage Geo-spatial location, chronological period, research sample (gender, age, etc.)
 
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