On the coupling property of Lévy processes
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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 language | English |
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Pages (from-to) | 1147-1159 |
Number of pages | 13 |
Journal | Annales de l'institut Henri Poincare. B, Probability and Statistics |
Volume | 47 |
Issue number | 4 |
Publication status | Published - Nov 2011 |
Peer-reviewed | Yes |
Keywords
ASJC Scopus subject areas
Keywords
- Compound Poisson processes, Coupling property, Lévy processes, Mineka coupling, Random walks, Strong Feller property