Constructions of coupling processes for Levy processes

被引：22
|
作者：
Boettcher, Bjoern [1 ]
Schilling, Rene L. [1 ]
Wang, Jian [1 ,2 ]
机构：
[1] Tech Univ Dresden, Inst Math Stochast, D-01062 Dresden, Germany
[2] Fujian Normal Univ, Sch Math & Comp Sci, Fuzhou 350007, Peoples R China
来源：
STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2011年 / 121卷 / 06期
关键词：
Coupling; Levy process; Subordinate Brownian motion; Bernstein function; INEQUALITY;
D O I：
10.1016/j.spa.2011.02.007
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We construct optimal Markov couplings of Levy processes, whose Levy (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. (C) 2011 Elsevier B.V. All rights reserved.
引用
收藏
页码：1201 / 1216
页数：16
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