Derivative formulae for stochastic differential equations driven by Poisson random measures

DOI10.1016/j.jmaa.2018.02.026zbMath1396.60070MaRDI QIDQ1754605

Hua Zhang, Jiangang Ren

Publication date: 31 May 2018

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

Full work available at URL: https://doi.org/10.1016/j.jmaa.2018.02.026

zbMATH Keywords

gradient estimate; Lévy processes; stochastic differential equations; Dirichlet form; Poisson functional; derivative formulae

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60G57: Random measures

Cites Work

• Unnamed Item
• Gradient estimates for SDEs driven by multiplicative Lévy noise
• Application of the lent particle method to Poisson-driven SDEs
• Large deviations and the Malliavin calculus
• Bismut-Elworthy-Li-type formulae for stochastic differential equations with jumps
• Dirichlet forms and analysis on Wiener space
• Derivative formulas and gradient estimates for SDEs driven by \(\alpha\)-stable processes
• Derivative formulae for SDEs driven by multiplicative \(\alpha\)-stable-like processes
• Stochastic calculus of variations in mathematical finance.
• Energy image density property and the lent particle method for Poisson measures
• Dirichlet Forms Methods for Poisson Point Measures and Lévy Processes
• Ergodicity for Infinite Dimensional Systems
• Harnack Inequalities for Stochastic Partial Differential Equations