Coupling for Ornstein–Uhlenbeck processes with jumps
Coupling for Ornstein–Uhlenbeck processes with jumps
Consider the linear stochastic differential equation (SDE) on $ℝ^n$: $$\mathrm{d}X_t = AX_t \mathrm{d}t + B \mathrm{d}L_t,$$ where $A$ is a real $n × n$ matrix, $B$ is a real $n × d$ real matrix and $L_t$ is a Lévy process with Lévy measure $ν$ on $ℝ^d$. Assume that $ν(\mathrm{d}z) ≥ …