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Successful couplings for a class of stochastic differential equations driven by Lvy processes 被引量：3

Successful couplings for a class of stochastic differential equations driven by Lvy processes
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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 Levy 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 s-stable Levy processes. 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.
作者 LIN HuoNan WANG Jian
机构地区 School of Mathematics and Computer Science
出处 《Science China Mathematics》 SCIE 2012年第8期1735-1748,共14页 中国科学：数学（英文版）
基金 supported by National Natural Science Foundation of China(Grant No.11126350) the Programme of Excellent Young Talents in Universities of Fujian(Grant Nos.JA10058,JA11051)
关键词 stochastic differential equations Levy processes coupling property coupling operator Liouvilletheorem 倒向随机微分方程 过程驱动 联轴器 刘维定理 马氏半群 调和函数 运营商 发电机
分类号 O211.63 [理学—概率论与数理统计] TP316 [自动化与计算机技术—计算机软件与理论]
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参考文献33

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同被引文献31

  • 1XI Fubao & ZHAO Liqin Department of Mathematics, Beijing Institute of Technology, Beijing 100081, China,School of Mathematical Sciences, Beijing Normal University, Beijing 100875, China.On the stability of diffusion processes with state-dependent switching[J].Science China Mathematics,2006,49(9):1258-1274. 被引量：5
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  • 10Donnelly P. Modelling genes: mathematical and statistical challenges in genomics. In: Proceedings of ICM 2006 Madrid, vol. III. Helsinki: European Mathematical Society, 2006, 559-574.

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Science China Mathematics
2012年 第8期

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