Coupling of Brownian motions in Banach spaces

Electronic Communications in Probability

Elisabetta Candellero¹ 

关键词: Banach space;    Brownian motion;    Cameron-Martin space;    coupling;    coupling at time $\infty $;    Gaussian measure;    Hilbert spaces;    Markushevich basis (M-basis);    reflection coupling;    Schauder basis;   

DOI  :  10.1214/18-ECP109

学科分类：统计和概率

来源: Institute of Mathematical Statistics

【 摘 要 】

Consider a separable Banach space $\mathcal{W} $ supporting a non-trivial Gaussian measure $\mu $. The following is an immediate consequence of the theory of Gaussian measure on Banach spaces: there exist (almost surely) successful couplings of two $\mathcal{W} $-valued Brownian motions $\mathbf{B} $ and $\widetilde{\mathbf {B}} $ begun at starting points $\mathbf{B} (0)$ and $\widetilde{\mathbf {B}} (0)$ if and only if the difference $\mathbf{B} (0)-\widetilde{\mathbf {B}} (0)$ of their initial positions belongs to the Cameron-Martin space $\mathcal{H} _\mu $ of $\mathcal{W} $ corresponding to $\mu $. For more general starting points, can there be a “coupling at time $\infty $”, such that almost surely $\|{\mathbf {B}(t)-\widetilde {\mathbf {B}}(t)}\|_{\mathcal{W} } \to 0$ as $t\to \infty $? Such couplings exist if there exists a Schauder basis of $\mathcal{W} $ which is also a $\mathcal{H} _\mu $-orthonormal basis of $\mathcal{H} _\mu $. We propose (and discuss some partial answers to) the question, to what extent can one express the probabilistic Banach space property “Brownian coupling at time $\infty $ is always possible” purely in terms of Banach space geometry?.

【 授权许可】

CC BY