\(L^{p}\)-Wasserstein distance for stochastic differential equations driven by Lévy processes (Q282551)

This paper studies the exponential contractivity of the transition semigroup \(\{P_{t}\}_{t \geq 0}\) associated to an SDE of the form \[ dX_{t}=b(X_{t})+ dZ_{t}, \] where \(\{Z_{t}\}_{t \geq 0}\) is a symmetric \(\alpha\)-stable process in \({\mathbb R}^{d}\) with \(\alpha \in (1,2)\) and \(b\) is a continuous vector field. Under a combined boundedness and monotonicity condition for \(b\), of the general form \(\langle b(x)-b(y),x-y \rangle \leq K_1 |x-y|^2\) for \(|x-y| \leq L_0\) and \(\langle b(x)-b(y),x-y \rangle \leq -K_1 |x-y|^\theta\) for \(|x-y| > L_0\), with \(\theta \geq 2\), it is shown that the \(p\)-Wasserstein distance between the measures \(\delta_{x} P_{t}\) and \(\delta_{y} P_{t}\), which correspond to the distribution of the corresponding processes generated by the SDE starting at the positions \(x\) and \(y\), decays exponentially in time for all \(p \in [1,\infty)\), with the speed of decay depending on \(\theta\), \(K_1\), \(K_2\) and \(L_{0}\). The proof of the result is based on a coupling argument, which generates an extended process with specified marginals, and on detailed estimates of the derived process.