A note on faithful coupling of Markov chains
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One often needs to turn a coupling (X_i, Y_i)_i≥ 0 of a Markov chain into a sticky coupling where once X_T = Y_T at some T, then from then on, at each subsequent time step T'≥ T, we shall have X_T' = Y_T'. However, not all of what are considered couplings in literature, even Markovian couplings, can be turned into sticky couplings, as proved by Rosenthal through a counter example. Rosenthal then proposed a strengthening of the Markovian coupling notion, termed as faithful coupling, from which a sticky coupling can indeed be obtained. We identify the reason why a sticky coupling could not be obtained in the counter example of Rosenthal, which motivates us to define a type of coupling which can obviously be turned into a sticky coupling. We show then that the new type of coupling that we define, and the faithful coupling as defined by Rosenthal, are actually identical. Our note may be seen as a demonstration of the naturalness of the notion of faithful coupling.
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