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Teoriya Veroyatnostei i ee Primeneniya, 2001, Volume 46, Issue 1, Pages 169–175
DOI: https://doi.org/10.4213/tvp4035
(Mi tvp4035)
 

Short Communications

On Coupling of Brownian Bridges

S. Levental

Michigan State University, Department of Statistics and Probability
Abstract: Let {B(t), 0t1} 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)|, 0t1, a.s.? The answer is positive. We will prove that we can take B to be
B(t)={Y(t),0tτ,B(t),τt1, Y(τ)=+B(τ),B(t),τt1, 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
English version:
Theory of Probability and its Applications, 2002, Volume 46, Issue 1, Pages 146–153
DOI: https://doi.org/10.1137/S0040585X97978828
Bibliographic databases:
Document Type: Article
Language: English
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
Citation in format AMSBIB
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\paper On Coupling of Brownian Bridges
\jour Teor. Veroyatnost. i Primenen.
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\vol 46
\issue 1
\pages 169--175
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\transl
\jour Theory Probab. Appl.
\yr 2002
\vol 46
\issue 1
\pages 146--153
\crossref{https://doi.org/10.1137/S0040585X97978828}
\isi{https://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=Publons&SrcAuth=Publons_CEL&DestLinkType=FullRecord&DestApp=WOS_CPL&KeyUT=000174464700012}
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  • https://www.mathnet.ru/eng/tvp/v46/i1/p169
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    Теория вероятностей и ее применения Theory of Probability and its Applications
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