On the coupling property and the Liouville theorem for Ornstein-Uhlenbeck processes

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Abstract

Using a coupling for the weighted sum of independent random variables and the explicit expression of the transition semigroup of Ornstein-Uhlenbeck processes driven by compound Poisson processes, we establish the existence of a successful coupling and the Liouville theorem for general Ornstein-Uhlenbeck processes. Then we present the explicit coupling property of Ornstein-Uhlenbeck processes directly from the behaviour of the corresponding symbol or characteristic exponent. This approach allows us to derive gradient estimates for Ornstein-Uhlenbeck processes via the symbol.

Details

Original languageEnglish
Pages (from-to)119-140
Number of pages22
JournalJournal of evolution equations
Volume12
Issue number1
Publication statusPublished - Mar 2012
Peer-reviewedYes

Keywords

ASJC Scopus subject areas

Keywords

  • coupling property, gradient estimates, Liouville theorem, Ornstein-Uhlenbeck processes