Total variation distance between SDEs with stable noise and Brownian motion with applications to Poisson PDEs

Abstract: We consider a $d$-dimensional stochastic differential equation (SDE) of the form $dU_t = b(U_t)d t + \sigma d Z_t$ with initial condition $U_0 = u\in \mathbb{R}^d$ and additive noise. Denote by $X_t^x$ the (unique) solution with initial value $X_0^x = x$, if the driving noise $Z_t$ is a $d$-dimensional rotationally symmetric $\alpha$-stable ($1<\alpha<2$) L\'evy process, and by $Y_t^y$ the (unique) solution with initial value $Y_0^y=y$, if the driving noise is a $d$-dimensional Brownian motion. We give precise estimates of the total variation distance $|{\rm law} (X_{t}^x)-{\rm law} (Y_{t}^y)|_{TV}$ for all $t>0$, and we show that the ergodic measures $\mu_\alpha$ and $\mu_2$ of $X_t^x$ and $Y_t^y$, respectively, satisfy $|\mu_\alpha-\mu_2|{TV} \leq 2\wedge\left[\frac{Cd^{3/2}}{\alpha-1}(2-\alpha)\right]$. As an application, we consider the following $d$-dimensional Poisson PDE \begin{gather*} -(-\Delta)^{\alpha/2} f(x) + \langle b(x), \nabla f(x)\rangle = h(x)-\mu\alpha(h), \end{gather*} where $h \in C_b(\mathbb{R}^d,\mathbb{R})$ and $1<\alpha\leq 2$. We show that this PDE admits a solution $f_\alpha$, which is continuous, but may have linear growth. For fixed $\alpha_0\in(1,2)$, we show that for any $\alpha_0\leq \alpha <2$ there is a constant $C(\alpha_0)$ such that \begin{gather*} \left|f_\alpha(x)-f_2(x)\right| \leq C(\alpha_0)(1+|x|)|h|_\infty d^{3/2}(2-\alpha)\log\frac{1}{2-\alpha} \quad\text{for all $x$}. \end{gather*}