Successful couplings for a class of stochastic differential equations driven by Lévy processes

被引：0

作者：

HuoNan Lin

Jian Wang

机构：

[1] Fujian Normal University,School of Mathematics and Computer Science

来源：

Science China Mathematics | 2012年 / 55卷

关键词：

stochastic differential equations; Lévy processes; coupling property; coupling operator; Liouville theorem; 60J25; 60J75;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

By constructing proper coupling operators for the integro-differential type Markov generator, we establish the existence of a successful coupling for a class of stochastic differential equations driven by Lévy processes. Our result implies a new Liouville theorem for space-time bounded harmonic functions with respect to the underlying Markov semigroups, and it is sharp for Ornstein-Uhlenbeck processes driven by α-stable Lévy processes.

引用

页码：1735 / 1748

页数：13

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