A unified approach to coupling SDEs driven by Lévy noise and some applications
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Contributors
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 language | English |
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Pages (from-to) | 664-693 |
Number of pages | 30 |
Journal | Bernoulli |
Volume | 26 |
Issue number | 1 |
Publication status | Published - 2020 |
Peer-reviewed | Yes |
Keywords
ASJC Scopus subject areas
Keywords
- Coupling by reflection, Coupling operator, Lévy process, Optimal coupling, Refined basic coupling, Successful coupling