Harnack inequalities for Ornstein-Uhlenbeck processes driven by Lévy processes

Jian Wang

Statistics & Probability Letters, 2011, vol. 81, issue 9, 1436-1444

Abstract: By using the existing sharp estimates of the density function for rotationally invariant symmetric [alpha]-stable Lévy processes and rotationally invariant symmetric truncated [alpha]-stable Lévy processes, we obtain that the Harnack inequalities hold for rotationally invariant symmetric [alpha]-stable Lévy processes with [alpha][set membership, variant](0,2) and Ornstein-Uhlenbeck processes driven by rotationally invariant symmetric [alpha]-stable Lévy process, while the logarithmic Harnack inequalities are satisfied for rotationally invariant symmetric truncated [alpha]-stable Lévy processes.

Keywords: Harnack; inequalities; Logarithmic; Harnack; inequalities; Ornstein-Uhlenbeck; processes; [alpha]-stable; Levy; processes (search for similar items in EconPapers)
Date: 2011
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