Name: On coupling of diffusion processes
Creator: Torgny Lindvall
Keywords: first hitting time, couplings, Central limit and other weak theorems, 0101 mathematics, 16. Peace & justice, Diffusion processes, 01 natural sciences, convergence speed results, ergodic theorem

descriptionPublicationkeyboard_double_arrow_right Article 01 Mar 1983 English Publisher:Cambridge University Press (CUP)Journal:Journal of Applied Probability, volume 20, pages 82-93 (issn: 0021-9002, eissn: 1475-6072,

Authors: Torgny Lindvall;

doi: 10.2307/3213722 , 10.1017/s0021900200096947

On coupling of diffusion processes

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Abstract

The coupling method is well fitted to be used in the study of the asymptotics of one-dimensional diffusion processes. We give an elementary proof of Orey's theorem in the recurrent case, and establish rate results for tendency towards equilibrium under moment conditions on the speed measure and the initial distributions.

Related Organizations

University of Gothenburg
Sweden

Keywords

first hitting time, couplings, Central limit and other weak theorems, Diffusion processes, convergence speed results, ergodic theorem

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