Academic Journal
Efficient Markovian couplings: examples and counterexamples
| العنوان: | Efficient Markovian couplings: examples and counterexamples |
|---|---|
| المؤلفون: | Krzysztof Burdzy, Wilfrid S. Kendall |
| المساهمون: | The Pennsylvania State University CiteSeerX Archives |
| المصدر: | http://www.warwick.ac.uk/fac/sci/Statistics/Staff/WSK/papers/331.ps.gz. |
| سنة النشر: | 1999 |
| المجموعة: | CiteSeerX |
| مصطلحات موضوعية: | DIFFUSION, CHEN-OPTIMAL COUPLING, CO-ADAPTED COUPLING, COUPLING EXPONENT, EFFICIENT COUPLING, EFFICIENT COUPLING HEURISTIC, EXACT SIMULATION, MARKOV CHAIN, MIRROR COUPLING, MONOTONICITY, PERFECT SIMULATION, PRICE OF PERFECTION, REFLECTING BROWNIAN MOTION, SPECTRAL GAP, SYNCHRONOUS COUPLING |
| الوصف: | In this paper we study the notion of an efficient coupling of Markov processes. Informally, an efficient coupling is one which couples at the maximum possible exponential rate, as given by the spectral gap. This notion is of interest not only for its own sake, but also of growing importance arising from the recent advent of methods of "perfect simulation": it helps to establish the "price of perfection" for such methods. In general one can always achieve efficient coupling if the coupling is allowed to "cheat" (if each component's behaviour is affected by future behaviour of the other component), but the situation is more interesting if the coupling is required to be co-adapted. We present an informal heuristic for the existence of an efficient coupling, and justify the heuristic by proving rigorous results and examples in the contexts of finite reversible Markov chains and of reflecting Brownian motion in planar domains. Keywords: DIFFUSION, CHEN-OPTIMAL COUPLING, CO-ADAPTED COUPLING,. |
| نوع الوثيقة: | text |
| وصف الملف: | application/postscript |
| اللغة: | English |
| Relation: | http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.29.9891; http://www.warwick.ac.uk/fac/sci/Statistics/Staff/WSK/papers/331.ps.gz |
| الاتاحة: | http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.29.9891 http://www.warwick.ac.uk/fac/sci/Statistics/Staff/WSK/papers/331.ps.gz |
| Rights: | Metadata may be used without restrictions as long as the oai identifier remains attached to it. |
| رقم الانضمام: | edsbas.4BC106FC |
| قاعدة البيانات: | BASE |
| الوصف غير متاح. |