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Short Communications
On Coupling of Brownian Bridges
S. Levental Michigan State University, Department of Statistics and Probability
Abstract:
Let {B(t), 0⩽t⩽1} be a Brownian bridge. Let Y(t)=∫t0f(u)dB(u), where f:[0,1]→{+1,−1} is a nonrandom and measurable function. Problem: Is there a Brownian bridge B∗ such that |Y(t)|⩾|B∗(t)|, 0⩽t⩽1, a.s.? The answer is positive. We will prove that we can take B∗ to be
B∗(t)={Y(t),0⩽t⩽τ,B(t),τ⩽t⩽1, Y(τ)=+B(τ),−B(t),τ⩽t⩽1, Y(τ)=−B(τ),
where τ=max. Now let X_+(t)=\int^t_0 1_{\{f=+1\}}(u)\,dB(u) and X_-(t)=\int^t_0 1_{\{f=-1\}}(u)\,dB(u), 0\le t\le 1. Is there a Brownian bridge B_* such that \max_{0\le t\le 1}|B_*(t)|=\max_{0\le t\le 1}\{|X_+(t)|\vee|X_-(t)|\}? Again, the answer is positive and will be discussed.
As a corollary of these constructions, we get a sharp inequality that compares the distributions of \max_{0\le t\le 1}|B(t)| and \max_{0\le t\le 1}|Y(t)|.
Keywords:
Brownian bridge, coupling, exchangeable random variables.
Received: 25.08.1999
Citation:
S. Levental, “On Coupling of Brownian Bridges”, Teor. Veroyatnost. i Primenen., 46:1 (2001), 169–175; Theory Probab. Appl., 46:1 (2002), 146–153
Linking options:
https://www.mathnet.ru/eng/tvp4035https://doi.org/10.4213/tvp4035 https://www.mathnet.ru/eng/tvp/v46/i1/p169
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Abstract page: | 275 | Full-text PDF : | 155 |
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