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Coupling all the L\'{e}vy stochastic areas of multidimensional Brownian motion

Wilfrid S. Kendall
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Abstract

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 L\'{e}vy stochastic areas $\int B_i dB_j-\int B_j dB_i$. It is conjectured that successful co-adapted couplings still exist when the L\'{e}vy 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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BibTeXRIS

Wilfrid S. Kendall. 2005-12-14. Coupling all the L\'{e}vy stochastic areas of multidimensional Brownian motion. https://doi.org/10.1214/009117906000001196

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