Coupling for Ornstein–Uhlenbeck processes with jumps
نویسندگان
چکیده
منابع مشابه
Reflected Diffusion Processes with Jumps
A stochastic differential equation of Wiener-Poisson type is considered in a d-dimensional bounded region. By using a penalization argument on the domain, we are able to prove the existence and uniqueness of solutions in the strong sense. The main assumptions are Lipschitzian coefficients, either convex or smooth domains and a regular outward reflecting direction. As a direct consequence, it is...
متن کاملWeak Dirichlet processes with jumps
This paper develops systematically the stochastic calculus via regularization in the case of jump processes. In particular one continues the analysis of real-valued càdlàg weak Dirichlet processes with respect to a given filtration. Such a process is the sum of a local martingale and an adapted process A such that [N,A] = 0, for any continuous local martingale N . Given a function u : [0, T ]× ...
متن کاملStochastic Hybrid Processes with Hybrid Jumps
Switching Diffusion processes can be represented as pathwise unique solutions of SDE’s in a hybrid state space that are driven by Brownian motion and Poisson random measure. This paper extends these SDE’s to switching jumpdiffusions, the jumps of which i) happen simultaneously with mode switching, and ii) depend on the mode after the switching. Jumps satisfying both i) and ii) are referred to a...
متن کاملSubordinators, Lévy processes with no negative jumps, and branching processes
The purpose of this course is to present some simple relations connecting subordinators, Lévy processes with no negative jumps, and continuous state branching processes. To start with, we develop the main ingredients on subordinators (the LévyKhintchine formula, the Lévy-Itô decomposition, the law of the iterated logarithm, the renewal theory for the range, and the link with local times of Mark...
متن کاملBoundary Harnack Inequality for Markov Processes with Jumps
We prove a boundary Harnack inequality for jump-type Markov processes on metric measure state spaces, under comparability estimates of the jump kernel and Urysohn-type property of the domain of the generator of the process. The result holds for positive harmonic functions in arbitrary open sets. It applies, e.g., to many subordinate Brownian motions, Lévy processes with and without continuous p...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Bernoulli
سال: 2011
ISSN: 1350-7265
DOI: 10.3150/10-bej308