Coupling and applications

MaRDI QIDQ4925780zbMATH OpenFDO

Authors Feng-Yu Wang

Publication date 12 June 2013

Full work available at URL https://arxiv.org/abs/1012.5687

zbMATH Keywords

continuous-time Markov processescouplinggradient estimatejump processesLiouville theoremLévy processesstochastic differential equationstransport problemWasserstein distance

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Continuous-time Markov processes on general state spaces (60J25) Transition functions, generators and resolvents (60J35) Diffusion processes (60J60)

Abstract: This paper presents a self-contained account for coupling arguments and applications in the context of Markov processes. We first use coupling to describe the transport problem, which leads to the concepts of optimal coupling and probability distance (or transportation-cost), then introduce applications of coupling to the study of ergodicity, Liouville theorem, convergence rate, gradient estimate, and Harnack inequality for Markov processes.

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