Coupling time distribution asymptotics for some couplings of the Levy stochastic area

Details Coupling time distribution asymptotics for some couplings of the Levy stochastic area Coupling time distribution asymptotics for some couplings of the Levy stochastic area

2010-02-23

arxiv.org/abs/1002.4348v1

Mathematics

Probability

18 pages; To appear in: Bingham, N. H., and Goldie, C. M. (eds), Probability and Mathematical Genetics: Papers in Honour of Si

Scientific paper

We exhibit some explicit co-adapted couplings for n-dimensional Brownian motion and all its Levy 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.

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