Successful couplings for a class of stochastic differential equations driven by Lévy processes (Q1933988): Difference between revisions
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Revision as of 21:32, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Successful couplings for a class of stochastic differential equations driven by Lévy processes |
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Successful couplings for a class of stochastic differential equations driven by Lévy processes (English)
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28 January 2013
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The authors consider a class of SDEs driven by Lévy processes. ``By constructing proper coupling operators for the integro-differential type Markov generator'', they prove the existence of a successful coupling for the processes under consideration. Applications include a result on ergodicity as well as the proof of a ``new Liouville theorem for space-time bounded harmonic functions with respect to the underlying Markov semigroups''. This result ``is sharp for Ornstein-Uhlenbeck processes driven by \(\alpha\)-stable Lévy processes''.
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stochastic differential equations
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Lévy processes
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coupling property
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coupling operator
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Liouville theorem
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ergodicity
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