Derivative Formula and Harnack Inequality for SDEs Driven by Lévy Processes

DOI10.1080/07362994.2013.836976zbMath1296.60230arXiv1104.5531OpenAlexW1979500940MaRDI QIDQ5416834

Feng-Yu Wang

Publication date: 15 May 2014

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1104.5531

zbMATH Keywords

Harnack inequalitysemigroupsheat kernelGirsanov theoremgradient estimatesMecke formulaLévy jump proces

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Random operators and equations (aspects of stochastic analysis) (60H25) Probabilistic potential theory (60J45)

Related Items (7)

Strong Feller property for one-dimensional Lévy processes driven stochastic differential equations with Hölder continuous coefficients ⋮ Bismut type derivative formulae and gradient estimate for multiplicative SDEs with fractional noises ⋮ Harnack inequalities for SDEs driven by subordinate Brownian motions ⋮ \(\Phi\)-entropy inequality and application for SDEs with jumps ⋮ Gradient estimates for SDEs driven by multiplicative Lévy noise ⋮ Statistical inference for misspecified ergodic Lévy driven stochastic differential equation models ⋮ Derivative formulas and applications for degenerate stochastic differential equations with fractional noises

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