On the coupling property of Lévy processes

DOI10.1214/10-AIHP400zbMATH Open1268.60061arXiv1006.5288OpenAlexW3106348366MaRDI QIDQ1944673FDOQ1944673

Authors: Jian Wang, R. L. Schilling 

Publication date: 26 March 2013

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Abstract: We give necessary and sufficient conditions guaranteeing that the coupling for L'evy processes (with non-degenerate jump part) is successful. Our method relies on explicit formulae for the transition semigroup of a compound Poisson process and earlier results by Mineka and Lindvall-Rogers on couplings of random walks. In particular, we obtain that a L'{e}vy process admits a successful coupling, if it is a strong Feller process or if the L'evy (jump) measure has an absolutely continuous component.

Full work available at URL: https://arxiv.org/abs/1006.5288

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zbMATH Keywords

random walksstrong Feller propertycompound Poisson processescoupling propertyMineka couplingLévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Sums of independent random variables; random walks (60G50) Continuous-time Markov processes on general state spaces (60J25)

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Cited In (34)

• Convergence to equilibrium for time-inhomogeneous jump diffusions with state-dependent jump intensity
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• On the exponential ergodicity of \((2+2)\)-affine processes in total variation distances
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• Optimal Markovian coupling for finite activity Lévy processes
• Coupling for Ornstein-Uhlenbeck processes with jumps
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• On the Exponential Ergodicity of Lévy-Driven Ornstein–Uhlenbeck Processes
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• Corrigendum to ``Constructions of coupling processes for Lévy processes
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• Refined basic couplings and Wasserstein-type distances for SDEs with Lévy noises
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• Coupling and strong Feller for jump processes on Banach spaces
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• Successful couplings for a class of stochastic differential equations driven by Lévy processes
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• Coupling methods and exponential ergodicity for two‐factor affine processes
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