Phi-entropy inequality and application for SDEs with jumps

作者：Wang, Feng-Yu^*

来源：Journal of Mathematical Analysis and Applications, 2014, 418(2): 861-873.

DOI：10.1016/j.jmaa.2014.03.086

• Phi-entropy inequality
• Exponential convergence
• Poisson measure
• Stochastic differential equation
• Levy process

By using the Phi-entropy inequality derived in [16,2] for Poisson measures, the same type of inequality is established for a class of stochastic differential equations driven by purely jump Levy processes. This inequality implies the exponential convergence in Phi-entropy of the associated Markov semigroup. The semigroup, Phi-entropy inequality for SDEs driven by Poisson point processes is also considered.

• 出版日期2014-10-15
• 单位北京师范大学