-entropy inequality and application for SDEs with jumps

DOI10.1016/J.JMAA.2014.03.086zbMATH Open1329.60199OpenAlexW2022188842MaRDI QIDQ488530FDOQ488530

Feng-Yu Wang

Publication date: 26 January 2015

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2014.03.086

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zbMATH Keywords

Markov semigroupstochastic differential equationsexponential convergencePoisson measure\(\Phi\)-entropy inequality[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=pure+jump+L%EF%BF%BD%EF%BF%BDvy+processes&go=Go pure jump L��vy processes]

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stochastic calculus of variations and the Malliavin calculus (60H07) Markov semigroups and applications to diffusion processes (47D07) Random measures (60G57) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Inequalities involving derivatives and differential and integral operators (26D10)

Cites Work

• Stochastic Equations in Infinite Dimensions
• Markov chains and stochastic stability
• Exponential ergodicity of the solutions to SDE's with a jump noise
• A new modified logarithmic Sobolev inequality for Poisson point processes and several applications
• Station�re zuf�llige Ma�e auf lokalkompakten Abelschen Gruppen
• Ergodicity and exponential \(\beta\)-mixing bounds for multidimensional diffusions with jumps
• Theory of stochastic differential equations with jumps and applications.
• Stability of regime-switching stochastic differential equations
• Entropies, convexity, and functional inequalities: on \(\Phi\)-entropies and \(\Phi\)-Sobolev inequalities
• Analysis and Geometry of Markov Diffusion Operators
• A simple approach to functional inequalities for non-local Dirichlet forms
• Title not available (Why is that?)
• Title not available (Why is that?)
• Exponential convergence rate in Boltzmann-Shannon entropy
• Derivative Formula and Harnack Inequality for SDEs Driven by Lévy Processes

Cited In (4)

• Fractional Fokker--Planck Equation with General Confinement Force
• Phi-entropy inequalities for diffusion semigroups
• Nonlinear nonlocal Douglas identity
• A characterization of the rate of change of Ф-entropy via an integral form curvature-dimension condition

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