Gradient estimate for Ornstein-Uhlenbeck jump processes

DOI10.1016/J.SPA.2010.12.002MaRDI QIDQ550147zbMATH OpenOpenAlexFDO

Authors Feng-Yu Wang

Publication date 8 July 2011

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1005.5023

zbMATH Keywords

subordinationgradient estimatecompound Poisson processLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Probabilistic potential theory (60J45)

Abstract: By using absolutely continuous lower bounds of the L'evy measure, explicit gradient estimates are derived for the semigroup of the corresponding L'evy process with a linear drift. A derivative formula is presented for the conditional distribution of the process at time $t$ under the condition that the process jumps before $t$. Finally, by using bounded perturbations of the L'evy measure, the resulting gradient estimates are extended to linear SDEs driven by L'evy-type processes.

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Cited in

(32)

• Ergodicities and Exponential Ergodicities of Dawson--Watanabe Type Processes
• Regularity for distribution-dependent SDEs driven by jump processes
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