Coupling all the Levy stochastic areas of multidimensional Brownian motion
成果类型：
Article
署名作者：
Kendall, Wilfrid S.
署名单位：
University of Warwick
刊物名称：
ANNALS OF PROBABILITY
ISSN/ISSBN：
0091-1798
DOI：
10.1214/009117906000001196
发表日期：
2007
页码：
935-953
关键词：
摘要：
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.
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