On the coupling property of Lévy processes

Research output: Contribution to journalResearch articleContributedpeer-review

Contributors

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

Original languageEnglish
Pages (from-to)1147-1159
Number of pages13
JournalAnnales de l'institut Henri Poincare. B, Probability and Statistics
Volume47
Issue number4
Publication statusPublished - Nov 2011
Peer-reviewedYes

Keywords

Keywords

  • Compound Poisson processes, Coupling property, Lévy processes, Mineka coupling, Random walks, Strong Feller property