Refined basic couplings and Wasserstein-type distances for SDEs with Lévy noises

By Dejun Luo, Jian Wang. Stochastic Processes and their Applications, 2016

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We establish the exponential convergence with respect to the $L^1$-Wasserstein distance and the total variation for the semigroup corresponding to the stochastic differential equation (SDE) $$d X_t=d Z_t+b(X_t)\,d t,$$ where $(Z_t)_{t\ge0}$ is a pure jump L\'{e}vy process whose L\'{e}vy measure $\nu$ fulfills $$ \inf_{x\in \R^d, |x|\le \kappa_0} [\nu\wedge (\delta_x \ast \nu)]( \R^d)>0$$ for some constant $\kappa_0>0$, and the drift term $b$ satisfies that for any $x,y\in \R^d$, $$\langle b(x)-b(y),x-y\rangle\le \begin{cases} \Phi_1(|x-y|)|x-y|,& |x-y|\le l_0; -K_2|x-y|^2,& |x-y|> l_0 \end{cases}$$ with some positive constants $K_2, l_0$ and positive measurable function $\Phi_1$. The method is based on the refined basic coupling for L\'{e}vy jump processes. As a byproduct, we obtain sufficient conditions for the strong ergodicity of the process $(X_t)_{t\ge0}$.

Subfields: Applied Mathematics, Finance, Mathematical Physics

View Paper: https://www.semanticscholar.org/paper/9093f904321da1dfc0e83fbee83fd79f599e70c6