Successful couplings for a class of stochastic differential equations driven by Lvy processes |
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Authors: | LIN HuoNan & WANG Jian |
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Institution: | LIN HuoNan & WANG Jian School of Mathematics and Computer Science,Fujian Normal University,Fuzhou 350007,China |
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Abstract: | 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 L’evy 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 L’evy processes. |
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Keywords: | stochastic differential equations L’evy processes coupling property coupling operator Liouville theorem |
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