MEXIT: Maximal un-coupling times for stochastic processes

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Abstract

Classical 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.

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Ernst, P. A., Kendall, W. S., Roberts, G. O., & Rosenthal, J. S. (2019). MEXIT: Maximal un-coupling times for stochastic processes. Stochastic Processes and Their Applications, 129(2), 355–380. https://doi.org/10.1016/j.spa.2018.03.001

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