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 Electronic Journal of Probability > Vol. 9 (2004) > Paper 13 open journal systems 


Coupling Iterated Kolmogorov Diffusions

Wilfrid S Kendall, University of Warwick
Catherine J. Price, Lehman Brothers


Abstract
The Kolmogorov-1934 diffusion is the two-dimensional diffusion generated by real Brownian motion and its time integral. In this paper we construct successful co-adapted couplings for iterated Kolmogorov diffusions defined by adding iterated time integrals as further components to the original Kolmogorov diffusion. A Laplace-transform argument shows it is not possible successfully to couple all iterated time integrals at once; however we give an explicit construction of a successful co-adapted coupling method for Brownian motion, its time integral, and its twice-iterated time integral; and a more implicit construction of a successful co-adapted coupling method which works for finite sets of iterated time integrals.


Full text: PDF

Pages: 382-410

Published on: April 29, 2004
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Electronic Journal of Probability. ISSN: 1083-6489