Constructions of coupling processes for Lévy processes

Björn Böttcher, René L. Schilling and Jian Wang

Stochastic Processes and their Applications, 2011, vol. 121, issue 6, 1201-1216

Abstract: We construct optimal Markov couplings of Lévy processes, whose Lévy (jump) measure has an absolutely continuous component. The construction is based on properties of subordinate Brownian motions and the coupling of Brownian motions by reflection.

Keywords: Coupling; Levy; process; Subordinate; Brownian; motion; Bernstein; function (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (6)

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