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Wilfrid S. Kendall

Abstra
t

Benjamini, Burdzy, and Chen (2007) introdu
ed the notion of a shy
oupling : a
oupling of a Markov

pro
ess su
h that, for suitable starting points, there is a positive
han
e of the two
omponent pro
esses

of the
oupling staying at least a given positive distan
e away from ea
h other for all time. Among other

results, they showed that no shy
ouplings
ould exist for ree
ted Brownian motions in C2 bounded

onvex planar domains whose boundaries
ontain no line segments. Here we use potential-theoreti

methods to extend this Benjamini et al. (2007) result (a) to all bounded
onvex domains (whether planar

and smooth or not) whose boundaries
ontain no line segments, (b) to all bounded
onvex planar domains

regardless of further
onditions on the boundary.

1 Introdu
tion

Motivated by the use of ree
tion
ouplings for ree
ted Brownian motion in a number of
ontexts (for

example e
ient
oupling as in Burdzy and Kendall, 2000, and work related to the hotspot
onje
ture, as

in Atar and Burdzy, 2002, and re
ent work on Laugesen-Morpurgo
onje
tures, Pas
u and Gageonea, 2008),

Benjamini, Burdzy, and Chen (2007) introdu
ed the notion of shy
oupling and studied it in the
ontexts of

Brownian motion on graphs and ree
ted Brownian motion parti
ularly in
onvex domains. Shy
oupling

of two random pro
esses o
urs when, for suitable starting points, there is a positive
han
e of the two

omponent pro
esses of the
oupling staying at least a given positive distan
e away from ea
h other: this of

ourse is in dire
t
ontrast to the more usual use of
ouplings, in whi
h the obje
tive is to arrange for the

two pro
esses to meet. Interest in shy
ouplings is therefore fo
used on
hara
terizing situations in whi
h shy

oupling

annot

motions in

C2

o ur. Benjamini et al. (2007) show non-existen e of shy oupling for ree ted Brownian

bounded onvex planar domains whose boundaries ontain no line segments. The present note

-martingales in

potential-theoreti
methods to obtain signi
antly stronger results in the
ase of ree
ted Brownian motion

in
onvex domains (Theorems 7 and 8 below). As with Benjamini et al. (2007), the prin
ipal purpose is to

ontribute to a better understanding of probabilisti
oupling.

To x notation, we begin with a formal dis
ussion of
oupling and shy
oupling. In the following

is

a measurable spa
e, and the distribution of a Markov pro
ess on D is spe
ied as a semigroup of transition

{Ptz : t > 0, z D}. (The semigroup-based denition allows us to take a
ount of

probability measures

oupling

(X, Y) for ea h pair of starting points

2

(x0 , y0 ) D2 , su h that X and Y ea h separately are Markov but share the same semigroup of transition

z

probability measures {Pt : t > 0, z D}. Thus for ea h s, t > 0 and z D and ea h measurable A D we

have

P [Xs+t A | Xs = z, Xu : 0 6 u 6 s]

P [Ys+t A | Ys = z, Yu : 0 6 u 6 s]

o-adapted oupling

in lude the pasts of both

and

Y:

Ptz (A) ,

Ptz (A) .

(1)

s, t > 0

for ea h

zD

and

and ea h measurable

P [Xs+t A | Xs = z, Xu , Yu : 0 6 u 6 s]

P [Ys+t A | Ys = z, Xu , Yu : 0 6 u 6 s]

Ptz (A) ,

Ptz (A) .

AD

(2)

(X, Y)

to be

Markov. (This generalization is
onvenient but unimportant.) Note that the
ouplings in Benjamini et al.

(2007) are all Markovian and hen
e
o-adapted.

We say that

(X, Y)

begun at

(x0 , y0 )

ouples su essfully

[Xt = Yt

on the event

t] .

[Xt = Yt

for some

t]

so as to ouple

su
essfully on the new event; this need not be the
ase for more general
ouplings. In the remainder of this

note the term
oupling will always be short for
o-adapted
oupling.

Benjamini et al. (2007)'s notion of

shy oupling

the
ases of Brownian motion on graphs and ree
ted Brownian motion on domains in Eu
lidean spa
e.

However their denition is expressed in general terms: suppose that

su h that for some

(X, Y)

P [dist(Xt , Yt ) >

X, Y has

(X, Y)

In words,

We say that

is

shy

>0

for all

begun at

(x0 , y0 ) - ouples

t | X0 = x0 , Y0 = y0 ]

>

(for > 0) on the event

[dist(Xt , Yt ) =

for some

x0 6= y0

(3)

0.

t] .

We fo us on ree ting Brownian motion in a bounded onvex domain in nite-dimensional Eu lidean spa e:

Denition 3 (Ree
ting Brownian motion). A ree
ting Brownian motion in the
losure

onvex domain

D Rn ,

begun at

x0 D,

Xt

x0 + Bt +

Zt

in

of a bounded

solving

(Xs ) d LX

s ,

(4)

where

D, and is a hoi e of an inward-pointing unit normal ve toreld on D.

is

boundary

a umulated at the

Unique solutions of (4) exist in the
ase of bounded
onvex domains (Tanaka, 1979, Theorem 3.1); this is a

onsequen
e of results about the deterministi
Skorokhod's equation. Note that ree
ted Brownian motion

an be dened as a semimartingale for domains whi
h are mu
h more general than
onvex domains (see for

example the treatment of Lips
hitz domains in Bass and Hsu, 1990); however the results of this paper are

on
erned entirely with the
onvex
ase.

Re
all that a
onvex domain in Eu
lidean spa
es
an be viewed as the interse
tion of
ountably many halfspa
es. Consequently the inward-pointing unit normal ve
toreld is unique up to a subset of D = D\ D of

X

zero Hausdor (n 1)-measure. The lo
al time term L
an be dened using the Skorokhod
onstru
tion: it

is the minimal non-de
reasing pro
ess su
h that the solution of (4) stays
onned within

by the
hoi
e of normal ve
toreld

D.

It is determined

Arguments from sto
hasti
al
ulus show that all
o-adapted
ouplings of su
h ree
ted Brownian motions

an be represented in terms of
o-adapted
ouplings

whi
h in turn must satisfy

At

Zt

(A, B)

J

s d Bs +

where

of

Zt

n-dimensional

K

s d Cs ,

B and C, and satisfying the identity

J J + K K

I(n)

Rn ) .

Thus we will study

and

su h that

Xt

Yt

Zt

x0 + Bt + (Xs ) d LX

s ,

0

Zt

Zt

Zt

y0 + Js d Bs + Ks d Cs + (Ys ) d LYs ,

0

J

t Jt + Kt Kt

I(n)

(5)

The results of this note
on
ern all possible
o-adapted
ouplings, of whi
h two important examples are:

1. the

K=

and

Jt = I(n) 2 et e

t ,

= (Xt Yt )/kXt Yt k,

from Xt to Yt ;

where et

2. the

perverse oupling :

K=0

and

Jt = I(n) +2 et e

t ,

kX Yk

variation. (This is related to the un oupled onstru tion in mery, 1989, Exer ise 5.43 of the planar

In pra ti e, as is typi ally the ase when studying Brownian ouplings, general proofs follow easily from the

spe ial ase when

K=0

and

Note that the existen
e question for ree
tion
ouplings in
onvex domains is non-trivial (Atar and Burdzy

2004 establish existen
e for the more general
ase of lip domains), but is not relevant for our purposes.

Benjamini et al. (2007) use ingenious arguments based on ideas from dierential games to show that

a bounded
onvex planar domain
annot support any shy
ouplings of ree
ted Brownian motions if the

boundary is

C2

and ontains no line segments (Benjamini et al., 2007, Theorem 4.3). Here we des ribe the

use of rather dire
t potential-theoreti
methods (summarized in se
tion 2); in se
tion 3 these are used to

generalize the Benjamini et al. (2007) result to the
ases of (a) all bounded
onvex domains in Eu
lidean

spa
e of whatever dimension with boundaries whi
h need not be smooth but must
ontain no line segments

(Theorem 7), and (b) all bounded
onvex planar domains (Theorem 8). Further extensions and
onje
tures

are dis
ussed in se
tion 4.

The following two lemmas from probabilisti potential theory are fundamental for our approa h.

therefore ompa t) subset of Rn Rn given by

Lemma 4.

>

Suppose there is a
ontinuous fun
tion : F R su
h that the following random pro
ess Z is a

supermartingale for any
o-adapted
oupling of ree
ting Brownian motions X and Y in the
losure

D, when S is the exit time of (X, Y) from F:

Zt

(XtS , YtS ) + t S .

Proof. Being a ontinuous fun tion on a ompa t set F, must be bounded.

(X, Y) the supermartingale Z is bounded below, and so almost surely it must
onverge to a nite

value at time . But boundedness of also means that Z must almost surely tend to innity on the event

[S = ]. These two requirements on Z for
e the
on
lusion that P [S < ] = 1. Sin
e X and Y ea
h ree
t o

D, it follows that the exit point (XS , YS ) must belong to the part of F whi
h is
ontained in the boundary

of {(x, y) : dist(x, y) < }; hen
e almost surely dist(XS , YS ) = .

oupling

the existen e of su h a implies a uniform bound on exponential moments of the - oupling time S.

As implied by Benjamini et al. (2007, Example 4.2), the obvious possibility = ckX Yk (for positive

c, with small) is not suitable here; the perverse
oupling of the previous se
tion is an example for whi
h

all su
h lead to (XtS , YtS ) + t S being a stri
tly in
reasing pro
ess when neither X nor Y belong

to D. Nevertheless we will see in the next se
tion how to
onstru
t whi
h work simultaneously for all

Consequently, if one
an exhibit su
h a

in

Before embarking on this, it is onvenient to introdu e a further lemma motivated by It (1975)'s approa h

A of lo ally bounded variation, then write

of the (in reasing) bra ket pro ess of M.

of a semimartingale

Drift d

Z = dA

into lo al martingale

and write

(d Z)2 = d[M, M]

o-adapted ouplings (X, Y) as above,

Z = (X, Y)

Proof.

random measure

Drift d

inequalities (with

up to time S;

Drift d Z < b d t up to time S.

(Drift bounded from above)

c, > 0 to be
hosen at the end of the proof, set (x, y) = c(1 exp((x, y)))

(X, Y) = c(1 exp(Z)) up to the exit time S:

For

lemma to

is a semimartingale;

a, b > 0):

1.

2.

:F R

(X, Y)

c exp(Z)

Drift d

Z 12 (d Z)2

The above al ulation then shows that

(XtS , YtS ) + (t S)

c2 exp(Z) (a 2b) d t

max{})

> 2b/a and c > 21 exp(

.

a2b

Lemma 4 holds.

As mentioned above in se
tion 1, the following sto
hasti
al
ulus result is to be found unannoun
ed and

in passing on page 297 of mery (2005).

Brownian motions. We state it here as a lemma and indi
ate a dire
t proof in order to establish an expli
it

statement of the result in the literature.

Lemma 6. Suppose that A and B are two
o-adapted n-dimensional Brownian motions. Augmenting

the ltration if ne
essary by adding an independent adapted n-dimensional Brownian motion D, it is

possible to
onstru
t an adapted n-dimensional Brownian motion C, independent of B, su
h that

Z

J d B + K d C ,

where J, K are (n n)-matrix-valued predi
table random pro
esses, satisfying the identity

J J + K K

I(n)

Proof.

Certainly the quadrati ovariation between the ve tor semimartingales A and B may be expressed

= J d t for a predi
table (n n)-matrix-valued predi
table random pro
ess J su
h that the

as d A d B

(n)

symmetri matrix inequality 0 6 J J 6 I

x); this is a onsequen e of the Kunita-Watanabe inequality. Sin e J J is a symmetri ontra tion matrix

(n)

k

.

we nd (J J) H1 as k , where H1 is the orthogonal proje
tion onto the null-spa
e of J J I

This exhibits H1 as a measurable fun tion of J. We may now extra t 2 = sup{x (J J H1 )x : kxk = 1} as

k

2k

a measurable fun
tion of J, renormalize and study (J J H1 ) /2 H2 , and
ontinue so as to represent

J J

H1 +

N

X

i=2

2i Hi ,

(6)

where

H1 , H2 ,

...,

HN

N 6 n,

and 1

> 2 >

...

> N >

and all

(n)

Set H0 = I

H1 H2 . . . HN and dene

N q

X

H0 +

2i Hi

i=2

J,

I(n) J J.

J J + K K = I(n) .

as predi table

K+

H0 +

N

X

K+ K = K K+ = I(n) H1 .

Now dene C by

so that

J d B

(n n)-matrix-

2i

Hi ,

K+ (d A J d B) + H1 d D .

=

is

(d A J d B)(d A J d B)

and so the sto
hasti
dierential

as a

i=2

K+ (d A J d B)

(I(n) J J) d t = K K d t ,

(I(n) H1 ) d t

and therefore

(n)

d t, by whi h we may dedu e that

+

(by the

so

is independent of B.

(n)

Finally

C = (I

H1 )(d A J d B)

(use

K H1 = 0)

and

H1 (d A J d B)

is a martingale dier-

H1 (d A J d B)(d A J d B) H1

So

K d C = d A J d B,

H1 (I(n) J J)H1 d t

H1 K K H1 d t

0.

K as a predi table

is not required if

pro
ess via the spe
tral de
omposition (6). Note also that the extra Brownian motion

J J < I(n) , in whi
h
ase H1 = 0.

The rst theorem generalizes the planar result of Benjamini et al. (2007, Theorem 4.3) to the ase of higher

dimensions, and removes the requirement of boundary smoothness.

segments. Then no o-adapted oupling of ree ted Brownian motions in D an be shy.

Theorem 7.

Proof.

a fun tion

Motivated by a similar
onstru
tion used to establish the
onvex geometry of small hemispheres (Kendall,

1991), dene (for

Vp, (x, y)

Thus

Vp,

p 6 D

1

and

> 0)

kx yk2 +

kx pk2

is a hyperboli perturbation of

>

depending on

1

2

, p,

ky pk2

kx yk2

based on the

1

2

kx yk2 + hx y,

pole

D

p.

x+y

2

pi .

(7)

= Vp, satises the

we show that

X, Y satisfy (5) for some o-adapted matrix pro esses J, K. Applying

B and C are independent n-dimensional standard Brownian motions,

suppose by virtue of Lemma 6 that

It's lemma and the fa t that

(d (X, Y))2

kX Y + (X p) J(X Y + (Y p))k

>

sin e the third equation of (5) implies that the linear map

<

>

If (for example)

J is a ontra tion.

(8)

kX Yk > .

2 sup{dist(p, w) : w D}

(9)

then

kX Y + (X p)k2

=

=

>

kX Y + (Y p) + (X Y)k2

pi

2

pi|

2

XY X+Y

h kXYk , 2 pi

2

2

kX Y + (Y p)k + 2kX Yk 1

kX Yk

>

kX Y + (Y p)k2 + 2 .

(10)

kX Y + (X p)k kX Y + (X Y)k

>

>

2

kX Y + (X p)k + kX Y + (X Y)k

2

>

.

(2 + ) diam D + sup{dist(p, w) : w D}

kX Yk > , no matter what o-adapted oupling is employed. This establishes

5. Note that we have not yet used the ondition that D be free of line segments.

d

while

requirement 1 of Lemma

(11)

Drift d

(X, Y)

Sin
e tr(J + J )

with

> 2n,

kx yk > ,

hx y + (x p), (x)i 6 0

when

hy x (y p), (y)i 6 0

Both inequalities hold for all small enough

>

when

depending on

b = 2n

1

2

tr

(J + J ) d t .

if we an show, for

x, y

x D ,

in

(13)

y D .

, p,

(12)

D.

Consider for

K = {(x, y, v) : x D, y D, v

at

y} ,

x = y or the segment between x and y lies in D. Moreover this

inner produ t is a ontinuous fun tion on K. But D ontains no line segments and so hy x, vi is negative

everywhere on the ompa t set K \ {(x, y, v) : kx yk < }, and therefore must satisfy a negative upper bound.

Thus the se ond inequality of (13) also holds when kx yk > , for all small enough depending on , p,

and the geometry of D. The rst inequality follows similarly.

Hen e both requirements of Lemma 5 apply for = Vp, for any xed > 0 on e is small enough

(depending on and the geometry of D). It follows from Lemma 4 that any o-adapted oupling X, Y

eventually attains dist(X, Y) 6 for any > 0, and hen e no o-adapted oupling an be shy.

is losed and bounded hen e ompa t. By onvexity of

subset

and an vanish on

only when

Theorem 8. Let D be a bounded
onvex planar domain. Then no
o-adapted
oupling of ree
ted

Brownian motions in D
an be shy.

Proof.

The proof strategy is the same as for Theorem 7: exhibit, for any xed

a nite number of fun tions

of the form

Vp,

requirement 2 on

i = ,

then

= 1 . . . k of

above.

The mild generalization modies

with the possibility that

ep,,S (x, y)

V

1

2

Vp, (x, y)

kx yk2 +

kx pk2 ky pk2

=

1

2

kx yk2 + hx y,

x+y

from the pole p.

2

x+y

2

pi ,

where now

ep,,S

V

8

= exp S1 k x+y

pk

2

(14)

runs mu h as for Theorem 7, but is further ompli ated by the need to deal with parallel line segments in

D.

(d V

p,

Z/kZk .

(15)

is a ontra tion)

kX Y + (X p

>

X+Y

1

2S

hX Y , Zi e) J(X Y + (Y p +

+ k K(X Y + (Y p +

1

kX Y + (X p

2S

2S

1

2S

hX Y , Zi e))k2

hX Y , Zi e))k2 +

hX Y , Zi e)k kX Y + (Y p +

1

2S

hX Y , Zi e)k

kX Y + (X p

2S

kZk

S

(p, w) : w D} ,

2

>

sup dist

(16)

<

/ sup{dist(p, w) : w D}

(17)

> 0)

then

hX Y , Zi e)k2 kX Y + (Y p +

1

2S

hX Y , Zi e)k2

= 2hX Y + Z, X Y S1 hX Y , Zi ei

kZk

2

, ei + kZk(1

, ei

= 2 kX Yk2 kZk

hX

Y

)hX

Y

S

S

kZk

kZk

> 2kX Yk2 1 S 2 kZk(1 S )|hX Y , ei|

|hXY ,ei|

1 kZk

> 2kX Yk2 1 kZk

2

S

kXYk

sup{dist(p, w) : w D}

> 2kX Yk2 1 sup{dist(pS,w):wD}

1

It follows from inequalities (16) and (17) that we obtain a positive lower bound on

kX Y + (X p

1

2S

hX Y , Zi e)k kX Y + (Y p +

1

2S

hX Y , Zi e)k

subje
t to the further
ondition (required to obtain a lower bound on ea
h of the two norms in the dieren
e

above)

6

Now, for a nite set of poles

(x, y) =

m

^

i=1

Subje
t to

and

<

p

i ,

(p, w) : w D} +

sup dist

(D)

diam

(18)

ep+ ,,S (x, y) V

ep+ ,,S (y, x) V

ep ,,S (x, y) V

ep ,,S (y, x)

V

i

i

i

i

p

j

(19)

Figure 1: Cir
le

line segments in

C
entred in D of large radius R, with interse
tion points produ
ed by extending the maximal

D (for simpli
ity D is
hosen to be a polygon). Note that 1 and 3 are parallel.

1 . . . k and identify the region

i = (thus, lo alizing). For xed > 0 there an only be nitely many maximal linear segments

i , pi

at the interse tion points on C of the line dened by i , sign hosen a ording to orientation (Figure 1).

Here R must be hosen to be large enough to full asymptoti s given below at (21): in addition we require

that R > diam(D) s (), where 3 is the minimum modulo of the non-zero angles between lines i , j .

The rationale for this is that if no other line segments are parallel to a given i , and if x, y i , then the

term
orresponding to i (via the poles pi ) in the minimum (19) is then the unique minimizer. For example

ep+ ,,S (x, y) is the unique minimizer if hx y, x+y p+ i is the unique minimum of the
orresponding inner

V

i

2

i

produ
ts. Hen
e R > diam(D)
s
() su
es to lo
alize in the absen
e of parallelism, by a simple geometri

where

1 ,

...,

argument indi ated in Figure 2. This argument uses the remark (established by al ulus) that

exp

p

j

1

x+y

+

k x+y

p

k

hx y,

p+

i

i i

2

S

2

is separated from

In ase some of the

at

p+

i

p).

ep,,S

V

as opposed to

taking into a
ount the expression (14) for . Suppose that x, y i and i is parallel to j . Establish

x+y

artesian
oordinates (u, v)
entred at

, for whi
h i lies on the u-axis. Without loss of generality suppose

Vp, ,

that

lies on the lo us

v = h.

Suppose the ir le

is entred at

x+y

p

j for whi
h hx y, 2 pj i has the

10

R > diam(D)
s
() and i is parallel to no other line segments then the poles p+

i , pi for a given i
an be

seen to supply the minimum in (19) when x, y i .

Figure 2:

same sign as

hx y, x+y

p+

i i,

2

x+y

+

S1 k x+y

p+

i k hx y, 2 pi i

2

x+y

x+y

1

exp k

p

j k hx y, 2 pj i

S

2

exp

p+

i , pj

(20)

1,

Figure 3:

>

(note that on e

is large

R).

i , j .

First note that it su e to onsider the ase when v0 is as large as possible. For if the entre of C is

+

moved say from (u0 , v0 ) to (u0 , h) then the pole pj is moved further out on j , while the pole pi is brought

loser in on i (see Figure 3). Cal
ulus shows that

p

u exp S1 u2 + v2

is in reasing in

for 0

q

1+

1+4v2 /S2

< u < S

2

11

= S/R >

1,

sin e

R>

(D) s ()

diam

and 0

We now establish asymptoti s whi h are uniform in

u0 6 diam(D)

and holding

= S/R

xed,

(u0 , v0 ) D;

diam(D) 6

x+y

+

1

S1 k x+y

p+

exp (

R2 h2 + u0 )

R2 h2 + u0

i k hx y, 2 pi i

2

S

p

>

x+y

x+y

1

1

R + u0

exp k

p

exp

(R + u0 )2 + h2

j k hx y, 2 pj i

S

2

S

!

p

p

1

R R2 h2

exp

(R R2 h2 ) + ( (R + u0 )2 + h2 (R + u0 ))

= 1

R + u0

R

1

R+u0

2

2

2

h2

R

h2

h2

) + R ( 2(R+uo )2 + o((R + u0 ) ))

> 1 R+u0 ( 2R2 + o(R )) exp

2 + o(R

2R

2

1

= 1 + 1 12 h

R2 + o( R2 ) .

exp

<<2

(21)

R.

As a onsequen e of these onsiderations, and bearing in mind the ontinuity properties of the riterion

> 0, if x, y D (i ball(0, )) and one of x, y D then the a tive

The nal step is to establish Lemma 5 requirement 2 (drift bounded from above). When p

is the

follows that for all su iently small

D

X Y + (X p )

hX

2S

E

D

Y , Zi e, (X) d LX + Y X (Y p )

hX

2S

E

Y , Zi e, (Y) d LY

+ (n

1

2

tr

(J + J )) d t

(using the notation of the proof of Theorem 8). In order to establish requirement 2 of Lemma 5, it su
es

to show non-positivity of

when

when

X Y + (X p )

X D,

and of

Y D.

D

Y X (Y p )

hX

2S

hX

2S

kX Yk 6 diam(D)

<

E

Y , Zi e, (X)

E

Y , Zi e, (Y)

and

diam(D) + R

6 ,

if

1

1

1

2S

(D)

diam

(22)

hXY , (X)i > (in
ase X D) or when hY X, (Y)i > (in
ase Y D).

small enough, we may then

It remains to onsider the ase when this does not happen. By hoosing

ensure that the two Brownian motions are both
lose to the same segment portion of the boundary. For the

fun
tion

hy x, i

kx yk

12

is ontinuous on the losed and bounded (and therefore ompa t) Eu lidean subset

for es

x, y.

H

S

{(x, y, ) : x D, y D, kx yk > ,

i {(x, y, )

H : x, y i }.

x, y i ball(0, )

for some

i.

If

>0

hy x, (y)i

<

normal at

y}

we an nd

y (D)

p;

su h that

kx yk

>0

2 /2 / > 0.

is similar. We an hoose

kx yk.

p

i

y D

and

>

as

hy x, (y)i <

y is at perpendi
ular distan
e h < from the line through i (Figure 4). If x is further

i than y, then the singular drift will
ertainly be non-negative on
e (22) is satised, sin
e the

x+y

p

segment y x then makes a smaller angle with (y) than does either y pi or

i . Otherwise (using

2

Suppose then that

away from

(D)) sin , .

diam

Hen e we require

<

( )

2S

=

(
os sin
ot )

(diam(D) + R)(1 + 21S diam(D))

q

h2

h

1 2

6

h

(diam(D) + R)(1 + 21S diam(D))

q

1

6

(diam(D) + R)(1 + 21S diam(D))

(diam(D) + R)(1 +

sin

(D)

diam

sin

2

2

(23)

x D

following by the same arguments) and so the drift is bounded above as required, thus ompleting the proof.

13

4 Con
lusion

The above shows how rather dire
t potential-theoreti
methods permit the dedu
tion of non-existen
e of

shy
ouplings for ree
ted Brownian motion in bounded
onvex domains, so long as either (a) the domain

boundary
ontains no line segments (Theorem 7) or (b) the domain is planar (Theorem 8). One is immediately

led to the
onje
ture that there are no shy
ouplings for ree
ted Brownian motion in

any

bounded onvex

domains. In the planar ase one an extend the substantial linear portions of the boundary to produ e a

nite set of poles p , leading in turn to the key fun
tion expressed as a minimum of a nite number

of simpler fun
tions. Similar
onstru
tions will in the general
ase lead to a
ontinuum of possible poles,

ontained in an essential
ontinuum of dierent hyperplanes, and this variety of poles is an obstru
tion to

generalization of the
ru
ial lo
alization analysis in the proof of Theorem 8. Careful geometri
arguments

allow progress to be made in the
ase of bounded
onvex polytopes, for whi
h attention
an be
onned to

a nite number of hyperplanes and hen
e to sets of poles forming hyper
ir
les

via

hypersphere with the hyperplanes. However even in this limited spe
ial
ase tedious arguments are required

in order to over
ome problems arising from interse
tions of the hyper
ir
les, and we omit the details.

Further variants on the general theme of shy-ness are possible. For example, it is not hard to use the

M is a Riemannian

2 , then there exist -shy
ouplings

omparison te
hniques des
ribed in Jost et al. (1998, Chapter 2) to show the following: if

manifold with se
tional
urvatures all bounded above by a nite
onstant

of Brownian motion on

for all

satisfying

<

min

These
ouplings are geometri
versions of the perverse
oupling des
ribed in Se
tion 1.

However the major
hallenge remains the
onje
ture of Benjamini et al. (2007, Open problem 4.5(ii)), who

ask whether there is any simply
onne
ted planar domain whi
h supports a shy
oupling of ree
ted Brownian

motions. The present work brings us
lose to understanding shy
oupling for
onvex domains; progress in

resolving the Benjamini et al. (2007)
onje
ture requires development of
ompletely new te
hniques not

dependent on
onvexity at all.

A
knowledgements

I am grateful to Chris Burdzy, Jon Warren, and Saul Ja
ka for very helpful
onversations.

Referen
es

Ele
troni
Communi
ations in Probability, 7:129139, 2002. URL http://www.math.washington.edu/~ejpe
p/E
pVol7/paper14.abs.html.

R. F. Bass and E. P. Hsu. The semimartingale stru ture of ree ting Brownian motion.

So ., 108(4):10071010, 1990.

14

K. Burdzy and W. S. Kendall. E ient Markovian ouplings: examples and ounterexamples.

M. mery.

The Annals

Sto hasti al ulus in manifolds. Universitext. Springer-Verlag, Berlin, 1989. With an appendix

by P.-A. Meyer.

M. mery. On
ertain almost Brownian ltrations.

K. It. Sto hasti dierentials.

volume 8 of

W. S. Kendall. Probability, onvexity, and harmoni maps with small image I: Uniqueness and ne existen e.

Pro eedings of the London Mathemati al So iety (Third Series), 61:371406, 1990.

W. S. Kendall. Coupling all the Lvy sto hasti areas of multidimensional Brownian motion.

M.

N.

Pas u

and

M.

E.

Gageonea.

On

onje ture

of

Laugesen

and

Morpurgo,

The Annals

2008.

URL

http://arxiv.org/abs/0807.4726.

der Mathematis hen Wissens haften [Fundamental Prin iples of Mathemati al S ien es. Springer-

H. Tanaka. Sto hasti dierential equations with ree ting boundary ondition in onvex regions.

ISSN 0018-2079.

15

Hiroshima

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