Mirror and synchronous couplings of geometric Brownian motions
Year of publication: |
2014
|
---|---|
Authors: | Jacka, Saul D. ; Mijatović, Aleksandar ; Širaj, Dejan |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 124.2014, 2, p. 1055-1069
|
Publisher: |
Elsevier |
Subject: | Mirror and synchronous coupling | Coupling time | Geometric Brownian motions | Efficient coupling | Optimal coupling | Bellman’s principle |
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