Pairwise Near-maximal Grand Coupling of Brownian Motions

Abstract

The well-known reflection coupling gives a maximal coupling of two one-dimensional Brownian motions with different starting points. Nevertheless, the reflection coupling does not generalize to more than two Brownian motions. In this paper, we construct a coupling of all Brownian motions with all possible starting points (i.e., a grand coupling), such that the coupling for any pair of the coupled processes is close to being maximal, that is, the distribution of the coupling time of the pair approaches that of the maximal coupling as the time tends to $0$ or $\infty$, and the coupling time of the pair is always within a multiplicative factor $2e^2$ from the maximal one. We also show that a grand coupling that is pairwise exactly maximal does not exist.

arXiv comment18 pages, 3 figures