Coupling and exponential ergodicity for stochastic differential equations driven by L\'{e}vy processes
Probability
2017-05-02 v3
Abstract
We present a novel idea for a coupling of solutions of stochastic differential equations driven by L\'{e}vy 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 -Wasserstein distances.
Cite
@article{arxiv.1509.08816,
title = {Coupling and exponential ergodicity for stochastic differential equations driven by L\'{e}vy processes},
author = {Mateusz B. Majka},
journal= {arXiv preprint arXiv:1509.08816},
year = {2017}
}
Comments
40 pages, revised version, accepted for publication in Stochastic Processes and their Applications. The final manuscript is available at Elsevier via https://doi.org/10.1016/j.spa.2017.03.020