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.
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Schilling, R.L., Wang, J. On the coupling property and the Liouville theorem for Ornstein–Uhlenbeck processes. J. Evol. Equ. 12, 119–140 (2012). https://doi.org/10.1007/s00028-011-0126-y
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DOI: https://doi.org/10.1007/s00028-011-0126-y