Derivative formulae for SDEs driven by multiplicative α-stable-like processes

By using Bismut’s approach to the Malliavin calculus with jumps, we establish a derivative formula of Bismut–Elworthy–Li’s type for SDEs driven by multiplicative Lévy noises, whose Lévy measure satisfies some order conditions. In particular, α-stable-like noises are allowed. Moreover, we also obtain the sharp gradient estimate in short time for the corresponding transition semigroup provided α∈(1,2).

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Year of publication:	2015
Authors:	Wang, Linlin ; Xie, Longjie ; Zhang, Xicheng
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 125.2015, 3, p. 867-885
Publisher:	Elsevier
Subject:	Derivative formula \| Gradient estimate \| Stable-like process \| Malliavin calculus

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011194143