On the coupling property and the Liouville theorem for Ornstein-Uhlenbeck processes (Q434340): Difference between revisions

The authors establish the existence of a successful coupling and the Liouville theorem for general Lévy driven Ornstein-Uhlenbeck processes. To this end they use a coupling for the weighted sum of independent random variables and the explicit expression of the transition semigroup of Ornstein-Uhlenbeck processes driven by compound Poisson processes. Furthermore, they derive the explicit coupling property of Ornstein-Uhlenbeck processes directly from the behaviour of the corresponding symbol or characteristic exponent. As a byproduct they derive gradient estimates for Ornstein-Uhlenbeck processes via the symbol.Various remarks on the connection to other articles and those on the optimality of the results round out the paper.