A maximal coupling of two diffusion processes makes two diffusion particles meet as early as possible. We study the uniqueness of maximal couplings under a sort of "reflection structure" which ensures the existence of such couplings. In this framework, the uniqueness in the class of Markovian couplings holds for the Brownian motion on a Riemannian manifold whereas it fails in more singular cases. We also prove that a Kendall-Cranston coupling is maximal under the reflection structure.
We investigate pathwise uniqueness for the squared Bessel and Cox-Ingersoll-Ross processes with additional reflection term that is multiplied by some real number strictly between minus one and one. The reflection term is the symmetric local time of the corresponding processes at a deterministic time dependent curve.
In this paper, we study the reflected backward stochastic differential equations driven by G-Brownian motion with two reflecting obstacles, which means that the solution lies between two prescribed processes. A new kind of approximate Skorohod condition is proposed to derive the uniqueness and existence of the solutions. The uniqueness can be proved by a priori estimates and the existence is obtained via a penalization method.
We consider stochastic differential equations with (oblique) reflection in a $2$-dimensional domain that has a cusp at the origin, i..e. in a neighborhood of the origin has the form $\{(x_1,x_2):0<x_1\leqδ_0,ψ_1(x_1)<x_2<ψ_ 2(x_1)\}$, with $ψ_1(0)=ψ_2(0)=0$, $ψ_1'(0)=ψ_2'(0)=0$. Given a vector field $γ$ of directions of reflection at the boundary points other than the origin, defining directions of reflection at the origin $γ^i(0):=\lim_{x_1\rightarrow 0^{+}}γ(x_1,ψ_i(x_1))$, $ i=1,2,$ and assuming there exists a vector $e^{*}$ such that $\langle e^{*},γ^i(0)\rangle >0$, $i=1,2$, and $e^{*}_1>…
Markovian maximal couplings of Markov processes are characterized by an equality of total variation and a distance of Wasserstein type. If a Markovian maximal coupling is a Feller process, the generator can be calculated, e.g. for reflection coupled Brownian motion. Apart from processes with continuous paths also jump processes are treated for the first time. For subordinated Brownian motion a Markovian maximal coupling is constructed by subordinating reflection coupled Brownian motion. This coupling is the unique Markovian maximal coupling and its generator is determined by state-space depend…
The present paper studies existence and distributional uniqueness of subclasses of stationary hard-core particle systems arising as thinnings of stationary particle processes. These subclasses are defined by natural maximality criteria. We investigate two specific criteria, one related to the intensity of the hard-core particle process, the other one being a local optimality criterion on the level of realizations. In fact, the criteria are equivalent under suitable moment conditions. We show that stationary hard-core thinnings satisfying such criteria exist and are frequently distributionally …
In this paper, we study existence and uniqueness to multidimensional Reflected Backward Stochastic Differential Equation in an open convex domain, allowing for oblique directions of reflection. In a Markovian framework, combining \emph{a priori} estimates for penalised equations and compactness arguments, we obtain existence results under quite weak assumptions on the driver of the BSDEs and the direction of reflection, which is allowed to depend on both $Y$ and $Z$. In a non Markovian framework, we obtain existence and uniqueness result for direction of reflection depending on time and $Y$. W…
We present two criteria to conclude that a stochastic partial differential equation (SPDE) posseses a unique maximal strong solution. This paper provides the full details of the abstract well-posedness results first given in arXiv:2202.09242v2, and partners a paper which rigorously addresses applications to the 3D SALT (Stochastic Advection by Lie Transport) Navier-Stokes Equation in velocity and vorticity form, on the torus and the bounded domain respectively. Each criterion has its corresponding set of assumptions and can be applied to viscous fluid equations with additive, multiplicative or…
In the present paper I consider Cayley graphs of reflection groups of finite-sided Coxeter polyhedra in 3-dimensional hyperbolic space H^3, with standard sets of generators. As the main result, I prove the existence of non-trivial non-uniqueness phase of bond and site Bernoulli percolation on such graphs, i.e. that p_c < p_u, for two classes of such polyhedra: * for any k-hedra as above with k at least 13; * for any compact right-angled polyhedra as above. I also establish a natural lower bound for the growth rate of such Cayley graphs (when the number of faces of the polyhedron is at least 6;…
We develop an existence, uniqueness and regularity theory for general multidimensional strongly coupled FBSDE using so called decoupling fields. We begin with a local result and extend it to a global theory via concatenation. The cornerstone of the global theory is the so called maximal interval which is, roughly speaking, the largest interval on which reasonable solutions exist. A method to verify that the maximal interval is the whole interval, for problems in which this is conjectured, is proposed. As part of our study of the regularity of solutions constructed we show variational different…
Let $E$ be a complete, separable metric space and $A$ be an operator on $C_b(E)$. We give an abstract definition of viscosity sub/supersolution of the resolvent equation $λu-Au=h$ and show that, if the comparison principle holds, then the martingale problem for $A$ has a unique solution. Our proofs work also under two alternative definitions of viscosity sub/supersolution which might be useful, in particular, in infinite dimensional spaces, for instance to study measure-valued processes. We prove the analogous result for stochastic processes that must satisfy boundary conditions, modeled as so…
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 th…
We prove strong existence and uniqueness for a reflection process $X$ in a smooth, bounded domain $D$ that behaves like obliquely-reflected-Brownian-motion, except that the direction of reflection depends on a (spin) parameter $S$, which only changes when $X$ is on the boundary of $D$ according to a physical rule. The process $(X,S)$ is a degenerate diffusion. We show uniqueness of the stationary distribution by using techniques based on excursions of $X$ from $\partial D$, and an associated exit system. We also show that the process admits a submartingale formulation and use related results t…
In this work, we consider the outer Stefan problem for the short-time prediction of the spread of a volatile asset traded in a financial market. The stochastic equation for the evolution of the density of sell and buy orders is the Heat Equation with a non-smooth noise in the sense of Walsh, posed in a moving boundary domain with velocity given by the Stefan condition. This condition determines the dynamics of the spread, and the solid phase $[s^-(t),s^+(t)]$ defines the bid-ask spread area wherein the transactions vanish. We introduce a reflection measure and prove existence and uniqueness of…
An essential spanning forest of an infinite graph $G$ is a spanning forest of $G$ in which all trees have infinitely many vertices. Let $G_n$ be an increasing sequence of finite connected subgraphs of $G$ for which $\bigcup G_n=G$. Pemantle's arguments imply that the uniform measures on spanning trees of $G_n$ converge weakly to an $\operatorname {Aut}(G)$-invariant measure $μ_G$ on essential spanning forests of $G$. We show that if $G$ is a connected, amenable graph and $Γ\subset \operatorname {Aut}(G)$ acts quasitransitively on $G$, then $μ_G$ is the unique $Γ$-invariant measure on essential…
In this paper, we study de Finetti's optimal dividend problem with capital injection under the assumption that the dividend strategies are absolutely continuous. In many previous studies, the process before being controlled was assumed to be a spectrally one-sided Lévy process, however in this paper we use a Lévy process that may have both positive and negative jumps. In the main theorem, we show that a refraction--reflection strategy is an optimal strategy. We also mention the existence and uniqueness of solutions of the stochastic differential equations that define refracted Lévy processes.
We investigate the long time behavior of weakly dissipative semilinear Hamilton-Jacobi-Bellman (HJB) equations and the turnpike property for the corresponding stochastic control problems. To this aim, we develop a probabilistic approach based on a variant of coupling by reflection adapted to the study of controlled diffusion processes. We prove existence and uniqueness of solutions for the ergodic Hamilton-Jacobi-Bellman equation and different kind of quantitative exponential convergence results at the level of the value function, of the optimal controls and of the optimal processes. Moreover,…
