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

Research output: Contribution to journalResearch articleContributedpeer-review

Contributors

  • Mingjie Liang - , Sanming University, Fujian Normal University (Author)
  • René L. Schilling - , Chair of Probability Theory (Author)
  • Jian Wang - , Fujian Normal University (Author)

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

Original languageEnglish
Pages (from-to)664-693
Number of pages30
JournalBernoulli
Volume26
Issue number1
Publication statusPublished - 2020
Peer-reviewedYes

Keywords

ASJC Scopus subject areas

Keywords

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