Efficient Markovian couplings: Examples and counterexamples.

DOI10.1214/aoap/1019487348zbMath1054.60077OpenAlexW2041355784WikidataQ124944152 ScholiaQ124944152MaRDI QIDQ1884821

Krzysztof Burdzy, Wilfrid S. Kendall

Publication date: 27 October 2004

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1019487348

zbMATH Keywords

monotonicitydiffusionMarkov chainspectral gapreflecting Brownian motionperfect simulationexact simulationsynchronous couplingmirror couplingco-adapted couplingChen-optimal couplingcoupling exponentefficient coupling heuristicprice of perfection

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Continuous-time Markov processes on discrete state spaces (60J27)

Related Items

Rigidity for Markovian maximal couplings of elliptic diffusions, A random walk with catastrophes, Maximal coupling of Euclidean Brownian motions, Monotonicity properties of the Neumann heat kernel in the ball, The heat equation and reflected Brownian motion in time-dependent domains. II: Singularities of solutions., Spectral analysis of diffusions with jump boundary, Contraction in the Wasserstein metric for the kinetic Fokker-Planck equation on the torus, A unified approach to coupling SDEs driven by Lévy noise and some applications

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