Derivative formulas and gradient estimates for SDEs driven by α-stable processes

In this paper we prove a derivative formula of Bismut–Elworthy–Li’s type as well as a gradient estimate for stochastic differential equations driven by α-stable noises, where α∈(0,2). As an application, the strong Feller property for stochastic partial differential equations driven by subordinated cylindrical Brownian motions is presented.

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Year of publication:	2013
Authors:	Zhang, Xicheng
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 123.2013, 4, p. 1213-1228
Publisher:	Elsevier
Subject:	Derivative formulas \| Gradient estimates \| α-stable processes

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

Persistent link: https://www.econbiz.de/10011065034