Coupling and exponential ergodicity for stochastic differential equations driven by Levy processes

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:127

Article

Majka, Mateusz B.¹ 

[1] Univ Bonn, Inst Appl Math, Endenicher Allee 60, D-53115 Bonn, Germany

关键词: Stochastic differential equations;    Levy processes;    Exponential ergodicity;    Couplings;    Wasserstein distances;   

DOI  :  10.1016/j.spa.2017.03.020

来源: Elsevier

【 摘 要 】

We present a novel idea for a coupling of solutions of stochastic differential equations driven by Levy noise, inspired by some results from the optimal transportation theory. Then we use this coupling to obtain exponential contractivity of the semigroups associated with these solutions with respect to an appropriately chosen Kantorovich distance. As a corollary, we obtain exponential convergence rates in the total variation and standard L-1-Wasserstein distances. (C) 2017 Elsevier B.V. All rights reserved.

【 授权许可】

Free