MEXIT: Maximal un-coupling times for stochastic processes

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dc.citation.firstpage355en_US
dc.citation.issueNumber2en_US
dc.citation.journalTitleStochastic Processes and their Applicationsen_US
dc.citation.lastpage380en_US
dc.citation.volumeNumber129en_US
dc.contributor.authorErnst, Philip A.en_US
dc.contributor.authorKendall, Wilfrid S.en_US
dc.contributor.authorRoberts, Gareth O.en_US
dc.contributor.authorRosenthal, Jeffrey S.en_US
dc.date.accessioned2019-01-24T16:07:55Zen_US
dc.date.available2019-01-24T16:07:55Zen_US
dc.date.issued2019en_US
dc.description.abstractClassical coupling constructions arrange for copies of the same Markov process started at two different initial states to become equal as soon as possible. In this paper, we consider an alternative coupling framework in which one seeks to arrange for two different Markov (or other stochastic) processes to remain equal for as long as possible, when started in the same state. We refer to this “un-coupling” or “maximal agreement” construction as MEXIT, standing for “maximal exit”. After highlighting the importance of un-coupling arguments in a few key statistical and probabilistic settings, we develop an explicit MEXIT construction for stochastic processes in discrete time with countable state-space. This construction is generalized to random processes on general state-space running in continuous time, and then exemplified by discussion of MEXIT for Brownian motions with two different constant drifts.en_US
dc.identifier.citationErnst, Philip A., Kendall, Wilfrid S., Roberts, Gareth O., et al.. "MEXIT: Maximal un-coupling times for stochastic processes." <i>Stochastic Processes and their Applications,</i> 129, no. 2 (2019) Elsevier: 355-380. https://doi.org/10.1016/j.spa.2018.03.001.en_US
dc.identifier.digitalMEXITen_US
dc.identifier.doihttps://doi.org/10.1016/j.spa.2018.03.001en_US
dc.identifier.urihttps://hdl.handle.net/1911/105118en_US
dc.language.isoengen_US
dc.publisherElsevieren_US
dc.rightsThis is an open access article under the CC BY license (http://creativecommons.org/licenses/by/4.0/).en_US
dc.rights.urihttp://creativecommons.org/licenses/by/4.0/en_US
dc.subject.keywordAdaptive MCMCen_US
dc.subject.keywordCopulaen_US
dc.subject.keywordCouplingen_US
dc.subject.keywordDiffusionsen_US
dc.subject.keywordFréchet classen_US
dc.subject.keywordHahn–Jordan decompositionen_US
dc.subject.keywordMarkovian couplingen_US
dc.subject.keywordMCMCen_US
dc.subject.keywordMeet measureen_US
dc.subject.keywordMEXITen_US
dc.subject.keywordOne-step minorizationen_US
dc.subject.keywordPseudo-marginal MCMCen_US
dc.subject.keywordRecognition lemma for maximal couplingen_US
dc.subject.keywordStochastic processesen_US
dc.subject.keywordUn-couplingen_US
dc.titleMEXIT: Maximal un-coupling times for stochastic processesen_US
dc.typeJournal articleen_US
dc.type.dcmiTexten_US
dc.type.publicationpublisher versionen_US
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