Constructions of coupling processes for Lévy processes

We construct optimal Markov couplings of Lévy processes, whose Lévy (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.

MoreLess

Year of publication:	2011
Authors:	Böttcher, Björn ; Schilling, René L. ; Wang, Jian
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 121.2011, 6, p. 1201-1216
Publisher:	Elsevier
Keywords:	Coupling Levy process Subordinate Brownian motion Bernstein function

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009023937