Constructions of Coupling Processes for Lévy Processes
Research output: Contribution to journal › Research article › Contributed › peer-review
Contributors
Abstract
We construct optimal Markov couplings of Ĺvy processes, whose Ĺvy (jump) measure has an absolutely continuous component. The construction is based on properties of subordinate Brownian motions and the coupling of Brownian motions by reflection.
Details
| Original language | English |
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| Pages (from-to) | 1201-1216 |
| Number of pages | 16 |
| Journal | Stochastic Processes and their Applications |
| Volume | 121 |
| Issue number | 6 |
| Publication status | Published - Jun 2011 |
| Peer-reviewed | Yes |
External IDs
| Scopus | 79955608901 |
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Keywords
ASJC Scopus subject areas
Keywords
- Bernstein function, Coupling, Lévy process, Subordinate Brownian motion