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On the Exponential Ergodicity of Lévy-Driven Ornstein–Uhlenbeck Processes

Part of: Markov processes Stochastic analysis Stochastic processes

Published online by Cambridge University Press:  30 January 2018

Jian Wang
Jian Wang*
Affiliation:
Fujian Normal University
*
∗ Postal address: School of Mathematics and Computer Science, Fujian Normal University, 350007, Fuzhou, P. R. China. Email address: jianwang@fjnu.edu.cn
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Abstract

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Based on the explicit coupling property, the ergodicity and the exponential ergodicity of Lévy-driven Ornstein–Uhlenbeck processes are established.

Keywords

Lévy processOrnstein–Uhlenbeck processcoupling propertyexponential ergodicity

MSC classification

Primary: 60H10: Stochastic ordinary differential equations
Secondary: 60J75: Jump processes 60G51: Processes with independent increments; L'evy processes
Type
Research Article
Information
Journal of Applied Probability , Volume 49 , Issue 4 , December 2012 , pp. 990 - 1004
Copyright
© Applied Probability Trust 

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