On the coupling property and the Liouville theorem for Ornstein-Uhlenbeck processes

DOI10.1007/S00028-011-0126-YzbMATH Open1247.60113arXiv1104.2166OpenAlexW2000631660MaRDI QIDQ434340FDOQ434340

Authors: Jian Wang, R. L. Schilling 

Publication date: 10 July 2012

Published in: Journal of Evolution Equations (Search for Journal in Brave)

Abstract: Using a coupling for the weighted sum of independent random variables and the explicit expression of the transition semigroup of Ornstein-Uhlenbeck processes driven by compound Poisson processes, we establish the existence of a successful coupling and the Liouville theorem for general Ornstein-Uhlenbeck processes. Then we present the explicit coupling property of Ornstein-Uhlenbeck processes directly from the behaviour of the corresponding symbol or characteristic exponent. This approach allows us to derive gradient estimates for Ornstein-Uhlenbeck processes via the symbol.

Full work available at URL: https://arxiv.org/abs/1104.2166

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zbMATH Keywords

Ornstein-Uhlenbeck processLiouville theoremgradient estimatesstrong Feller propertysymbolcoupling propertyLévy process

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cited In (26)

• Ergodicities and Exponential Ergodicities of Dawson--Watanabe Type Processes
• The Liouville theorem for a class of Fourier multipliers and its connection to coupling
• Weak well-posedness for a class of degenerate Lévy-driven SDEs with Hölder continuous coefficients
• On the exponential ergodicity of \((2+2)\)-affine processes in total variation distances
• Coupling for Ornstein-Uhlenbeck processes with jumps
• Subexponential upper and lower bounds in Wasserstein distance for Markov processes
• On the Exponential Ergodicity of Lévy-Driven Ornstein–Uhlenbeck Processes
• Coupling and exponential ergodicity for stochastic differential equations driven by Lévy processes
• A unified approach to coupling SDEs driven by Lévy noise and some applications
• A Liouville theorem for Lévy generators
• Coupling property and gradient estimates of Lévy processes via the symbol
• Harnack inequalities for stochastic equations driven by Lévy noise
• Refined basic couplings and Wasserstein-type distances for SDEs with Lévy noises
• \(L^{p}\)-Wasserstein distance for stochastic differential equations driven by Lévy processes
• On the existence and explicit estimates for the coupling property of Lévy processes with drift
• On ε-coupling and piecewise constant processes
• Exponential ergodicity for SDEs and McKean-Vlasov processes with Lévy noise
• The Liouville theorem and linear operators satisfying the maximum principle
• Linear Evolution Equations with Cylindrical Lévy Noise: Gradient Estimates and Exponential Ergodicity
• Strong feller and ergodic properties of the (1+1)-affine process
• One-side Liouville theorems under an exponential growth condition for Kolmogorov operators
• Successful couplings for a class of stochastic differential equations driven by Lévy processes
• Regularity for semigroups of Ornstein-Uhlenbeck processes
• Gradient estimates and coupling property for semilinear SDEs driven by jump processes
• Derivative formula and coupling property for linear SDEs driven by Lévy processes
• Schauder estimates for degenerate Lévy Ornstein-Uhlenbeck operators

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