Abstract
In this paper, for two given transition probabilities, the existence of the optimal Markovian coupling with respect to a non-negative lower semi-continuous function is proved. As an application of this result, the well-known Strassen's theorem is generalized. Moreover, it is proved that the existence of an order-preserving Markovian coupling of two given jump processes is equivalent to their stochastical comparability.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
