On the coupling property of Lévy processes
Publikation: Beitrag in Fachzeitschrift › Forschungsartikel › Beigetragen › Begutachtung
Beitragende
Abstract
We give necessary and sufficient conditions guaranteeing that the coupling for Lévy 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 Lévy process admits a successful coupling, if it is a strong Feller process or if the Lévy (jump) measure has an absolutely continuous component.
Details
Originalsprache | Englisch |
---|---|
Seiten (von - bis) | 1147-1159 |
Seitenumfang | 13 |
Fachzeitschrift | Annales de l'institut Henri Poincare. B, Probability and Statistics |
Jahrgang | 47 |
Ausgabenummer | 4 |
Publikationsstatus | Veröffentlicht - Nov. 2011 |
Peer-Review-Status | Ja |
Schlagworte
ASJC Scopus Sachgebiete
Schlagwörter
- Compound Poisson processes, Coupling property, Lévy processes, Mineka coupling, Random walks, Strong Feller property