Maximal Coupling of Euclidean Brownian Motions

Abstract

We prove that the mirror coupling is the unique maximal Markovian coupling of two Euclidean Brownian motions starting from single points and discuss the connection between the uniqueness of maximal Markovian coupling of Brownian motions and certain mass transportation problems.

Keywords

Euclidean Brownian motion / Mirror coupling / Maximal coupling

References

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