Coupling-convexity of a diffusion with respect to its starting position

Source abstract

In the present paper, we consider a $d$-dimensional time-homogeneous stochastic differential equation with diffusion matrix $a$ and no drift coefficient. We check that the convexity in the starting position $x$ of the distribution of its solution on the path space when the codomain is endowed with the convex order is equivalent to the convexity of $\R^d\ni x\mapsto \sqrt{ζ^*a(x)ζ}$ for each $ζ\in\R^d$. To do so, we introduce the seemingly stronger notion of coupling-convexity in the starting position and check that it is also equivalent to the convexity of the above square-rooted functions.