A unified approach to coupling SDEs driven by Lévy noise and some applications

Publikation: Beitrag in FachzeitschriftForschungsartikelBeigetragenBegutachtung

Beitragende

Abstract

We present a general method to construct couplings of stochastic differential equations driven by Lévy noise in terms of coupling operators. This approach covers both coupling by reflection and refined basic coupling which are often discussed in the literature. As applications, we prove regularity results for the transition semigroups and obtain successful couplings for the solutions to stochastic differential equations driven by additive Lévy noise.

Details

OriginalspracheEnglisch
Seiten (von - bis)664-693
Seitenumfang30
FachzeitschriftBernoulli
Jahrgang26
Ausgabenummer1
PublikationsstatusVeröffentlicht - 2020
Peer-Review-StatusJa

Schlagworte

ASJC Scopus Sachgebiete

Schlagwörter

  • Coupling by reflection, Coupling operator, Lévy process, Optimal coupling, Refined basic coupling, Successful coupling