On the Coupling Property and the Liouville Theorem for Ornstein-Uhlenbeck Processes

Abstract

Using a coupling for the weighted sum of independent random variables and the explicit expression of the transition semigroup of Ornstein-Uhlenbeck processes driven by compound Poisson processes, we establish the existence of a successful coupling and the Liouville theorem for general Ornstein-Uhlenbeck processes. Then we present the explicit coupling property of Ornstein-Uhlenbeck processes directly from the behaviour of the corresponding symbol or characteristic exponent. This approach allows us to derive gradient estimates for Ornstein-Uhlenbeck processes via the symbol.

21pages

References in corpus (2)

• Gradient Estimate for Ornstein-Uhlenbeck Jump Processes
• On the absolute continuity of Lévy processes with drift