$\Phi$-Entropy Inequality and Invariant Probability Measure for SDEs with Jump
Probability
2013-09-06 v2
Abstract
By using the -entropy inequality derived in \cite{Wu, Ch} for Poisson measures, the same type of inequality is established for a class of stochastic differential equations driven by purely jump L\'evy processes. The semigroup -entropy inequality for SDEs driven by Poisson point processes as well as a sharp result on the existence of invariant probability measures are also presented.
Keywords
Cite
@article{arxiv.1309.0942,
title = {$\Phi$-Entropy Inequality and Invariant Probability Measure for SDEs with Jump},
author = {Feng-Yu Wang},
journal= {arXiv preprint arXiv:1309.0942},
year = {2013}
}
Comments
15 pages