Coupling of Diffusions by Reflection

Mr. Daniel Noelck
Dissertator
University of Wisconsin – Milwaukee

“Assume two independent random walks with identical transition probabilities but different starting points run until they meet. The instance they meet is called the coupling time, from that time forward, the distributions of the two processes should be the same. We will construct conditions to make sure the coupling happens in finite time and expand the idea to solutions to certain SDEs. No knowledge of stochastic processes will be assumed in this talk.”