On the Existence and Explicit Estimates for the Coupling Property of Lévy Processes with Drift

Jian Wang ()
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Jian Wang: Fujian Normal University

Journal of Theoretical Probability, 2014, vol. 27, issue 3, 1021-1044

Abstract: Abstract In this article, we first establish new criteria for the coupling property of Lévy processes with drift. The criteria are sharp for Lévy processes and Ornstein-Uhlenbeck processes with jumps, and also strengthen the recent result of Lin and Wang (Sci China Math 55:1735–1748, Theorem 1.1, 2012). Then, using the time-change technique, we derive explicit estimates for the coupling property of subordinated Brownian motions with drift. These estimates are optimal for a large class of subordinated Brownian motions.

Keywords: Stochastic differential equations; Lévy processes; Subordinated Brownian motions; Coupling property; Time-change method; 60J25; 60J75 (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1007/s10959-012-0463-y

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