Coupling for Ornstein-Uhlenbeck processes with jumps

DOI10.3150/10-BEJ308MaRDI QIDQ654400zbMATH OpenOpenAlexFDO

Authors Feng-Yu Wang

Publication date 28 December 2011

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1002.2890

zbMATH Keywords

couplingHarnack inequalityquasi-invariancestrong FellerLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Transition functions, generators and resolvents (60J35)

Abstract: Consider the linear stochastic differential equation (SDE) on $mathbb{R}^n$: [mathrm {d}{X}_t=AX_t,mathrm{d}t+B,mathrm{d}L_t,] where $A$ is a real $nimesn$ matrix, $B$ is a real $nimesd$ real matrix and $L_t$ is a L'{e}vy process with L'{e}vy measure $u$ on $mathbb{R}^d$. Assume that $u(mathrmdz)geh{o}_0(z),mathrmdz$ for some $h{o}_{0}ge0$. If $Ale0,operatornameRank(B)=n$ and $in{t}_{|z-z_0|levarepsilon}h{o}_0(z{)}^{-1},mathrmdz<infty$ holds for some $z_{0}inmathbb{R}^d$ and some $varepsilon>0$, then the associated Markov transition probability $P_t(x,mathrmdy)$ satisfies [|P_t(x,cdot)-P_t(y,cdot)|_{mathrm{var}}le frac{C(1+|x-y|)}{sqrt{t}}, x,yin mathbb{R}^d,t>0,] for some constant $C>0$, which is sharp for large $t$ and implies that the process has successful couplings. The Harnack inequality, ultracontractivity and the strong Feller property are also investigated for the (conditional) transition semigroup.

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Cited in

(27)

• Coupling and exponential ergodicity for stochastic differential equations driven by Lévy processes
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