Optimal Markovian coupling for finite activity Lévy processes

DOI10.3150/23-bej1696zbMATH Open1545.6009MaRDI QIDQ6589575

Aleksandar Mijatović, Wilfrid S. Kendall, Mateusz B. Majka

Publication date: 20 August 2024

Published in: Bernoulli (Search for Journal in Brave)

Lévy process Wasserstein distance continuous-time random walk optimal coupling maximal coupling unimodal distribution Markovian coupling immersion coupling simultaneous optimality concave transport cost finite activity Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Numerical analysis or methods applied to Markov chains (65C40)

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