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A New Method for Coupling Random Fields

Published online by Cambridge University Press:  01 February 2010

L. A. Breyer  and
G. O. Roberts
L. A. Breyer
Affiliation:
Department of Mathematics and Statistics, Lancaster University, Lancaster LA1 4YF, laird@lbreyer.com
G. O. Roberts
Affiliation:
Department of Mathematics and Statistics, Lancaster University, Lancaster LA1 4YF, g.o.roberts@lancaster.ac.uk

Abstract

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Given a Markov chain, a stochastic flow that simultaneously constructs sample paths started at each possible initial value can be constructed as a composition of random fields. Here, a method is described for coupling flows by modifying an arbitrary field (consistent with the Markov chain of interest) by an independence Metropolis-Hastings iteration. The resulting stochastic flow is shown to have many desirable coalescence properties, regardless of the form of the original flow.

Type
Research Article
Information
LMS Journal of Computation and Mathematics , Volume 5 , 2002 , pp. 77 - 94
Copyright
Copyright © London Mathematical Society 2002

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