SHY COUPLINGS, CAT(0) SPACES, AND THE LION AND MAN

• 成果类型: Article
• 署名作者: Bramson, Maury; Burdzy, Krzysztof; Kendall, Wilfrid
• 署名单位: University of Minnesota System; University of Minnesota Twin Cities; University of Washington; University of Washington Seattle; University of Warwick
• 刊物名称: ANNALS OF PROBABILITY
• ISSN/ISSBN: 0091-1798
• DOI: 10.1214/11-AOP723
• 发表日期: 2013
• 页码: 744-784
• 关键词: STOCHASTIC DIFFERENTIAL-EQUATIONS; reflecting boundary

摘要

Two random processes X and Y on a metric space are said to be epsilon-shy coupled if there is positive probability of them staying at least a positive distance E apart from each other forever. Interest in the literature centres on nonexistence results subject to topological and geometric conditions; motivation arises from the desire to gain a better understanding of probabilistic coupling. Previous nonexistence results for co-adapted shy coupling of reflected Brownian motion required convexity conditions; we remove these conditions by showing the nonexistence of shy co-adapted couplings of reflecting Brownian motion in any bounded CAT(0) domain with boundary satisfying uniform exterior sphere and interior cone conditions, for example, simply-connected bounded planar domains with C-2 boundary. The proof uses a Cameron-Martin-Girsanov argument, together with a continuity property of the Skorokhod transformation and properties of the intrinsic metric of the domain. To this end, a generalization of Gauss' lemma is established that shows differentiability of the intrinsic distance function for closures of CAT(0) domains with boundaries satisfying uniform exterior sphere and interior cone conditions. By this means, the shy coupling question is converted into a Lion and Man pursuit evasion problem.