Derivative formulas and gradient estimates for SDEs driven by -stable processes
From MaRDI portal
(Redirected from Publication:1939337)
Derivative formulas and gradient estimates for SDEs driven by \(\alpha\)-stable processes
Derivative formulas and gradient estimates for SDEs driven by \(\alpha\)-stable processes
Abstract: In this paper we prove a derivative formula of Bismut-Elworthy-Li's type as well as gradient estimate for stochastic differential equations driven by -stable noises, where . As an application, the strong Feller property for stochastic partial differential equations driven by subordinated cylindrical Brownian motions is presented.
Recommendations
- Derivative formulae for SDEs driven by multiplicative \(\alpha\)-stable-like processes
- Derivative formula for the Feynman-Kac semigroup of SDEs driven by rotationally invariant \(\alpha\)-stable process
- Gradient estimates for SDEs driven by multiplicative Lévy noise
- Bismut type derivative formulae and gradient estimate for multiplicative SDEs with fractional noises
- Derivative formula and Harnack inequality for SDEs driven by Lévy processes
Cited in
(72)- Asymptotic forms for the derivatives of one-sided stable laws
- Bismut formula for a stochastic heat equation with fractional noise
- Davie's type uniqueness for a class of SDEs with jumps
- Harnack inequality and derivative formula for stochastic heat equation with fractional noise
- Pricing of basket options in subdiffusive fractional Black-Scholes model
- Harnack inequalities for SDEs driven by subordinator fractional Brownian motion
- Stochastic flows for Lévy processes with Hölder drifts
- Asymptotics for stochastic reaction-diffusion equation driven by subordinate Brownian motion
- Derivative formulae for stochastic differential equations driven by Poisson random measures
- Exponential ergodicity of stochastic Burgers equations driven by \(\alpha\)-stable processes
- Gradient estimates and coupling property for semilinear SDEs driven by jump processes
- Hölder regularity and gradient estimates for SDEs driven by cylindrical \(\alpha \)-stable processes
- Non-uniform gradient estimates for SDEs with local monotonicity conditions
- A Wong-Zakai approximation of stochastic differential equations driven by a general semimartingale
- Strong Feller property for SDEs driven by multiplicative cylindrical stable noise
- Harnack inequalities for functional SDEs driven by subordinate Brownian motions
- The \(\alpha \)-dependence of the invariant measure of stochastic real Ginzburg-Landau equation driven by \(\alpha \)-stable Lévy processes
- Harnack inequalities for McKean-Vlasov SDEs driven by subordinate Brownian motions
- Gradient formula for transition semigroup corresponding to stochastic equation driven by a system of independent Lévy processes
- Option pricing of geometric Asian options in a subdiffusive Brownian motion regime
- Smoothing effect and derivative formulas for Ornstein-Uhlenbeck processes driven by subordinated cylindrical Brownian noises
- A stochastic Fubini theorem for -stable process
- On the \(\alpha \)-dependence of stochastic differential equations with Hölder drift and driven by \(\alpha \)-stable Lévy processes
- Exponential mixing of 2D SDEs forced by degenerate Lévy noises
- Derivative formulae for SDEs driven by multiplicative \(\alpha\)-stable-like processes
- Harnack inequalities for stochastic equations driven by Lévy noise
- Refined basic couplings and Wasserstein-type distances for SDEs with Lévy noises
- Derivative formula for the Feynman-Kac semigroup of SDEs driven by rotationally invariant \(\alpha\)-stable process
- Derivative formula and coupling property for linear SDEs driven by Lévy processes
- Averaging principle for stochastic real Ginzburg-Landau equation driven by \(\alpha\)-stable process
- Irreducibility and asymptotics of stochastic Burgers equation driven by \(\alpha \)-stable processes
- Harnack inequalities for SDEs driven by cylindrical -stable processes
- Fundamental solutions of nonlocal Hörmander's operators
- Ergodicity for functional stochastic differential equations and applications
- Derivative formula and exponential convergence for semilinear SPDEs driven by Lévy processes
- Bismut formula for Lions derivative of distribution-path dependent SDEs
- Limits of invariant measures of stochastic Burgers equations driven by two kinds of \(\alpha\)-stable processes
- Strong Feller properties for degenerate SDEs with jumps
- Fractional neutral stochastic differential equations driven by α-stable process
- Densities for SDEs driven by degenerate \(\alpha\)-stable processes
- Differentiable approximation of diffusion equations driven by \(\alpha\)-stable Lévy noise
- Harnack inequalities for SDEs driven by subordinate Brownian motions
- Transition density estimates for diagonal systems of SDEs driven by cylindrical -stable processes
- Gradient estimates for SDEs driven by multiplicative Lévy noise
- Random invariant manifolds of stochastic evolution equations driven by Gaussian and non-Gaussian noises
- Harnack inequalities for functional SDEs driven by subordinate multifractional Brownian motion
- Bismut type derivative formulae and gradient estimate for multiplicative SDEs with fractional noises
- Asymptotic Bismut formulae for stochastic functional differential equations with infinite delay
- Regularity of semigroups for SDEs driven by Lévy noises with one-sided Lipschitz continuous drift
- Least squares estimator for a class of subdiffusion processes
- Singular integrals of subordinators with applications to structural properties of SPDEs
- Harnack inequalities for SDEs with multiplicative noise and non-regular drift
- Ergodicity of Stochastic Dissipative Equations Driven by α-Stable Process
- Harnack inequalities for functional SDEs driven by subordinate fractional Brownian motion
- Probability computation for high-dimensional semilinear SDEs driven by isotropic \(\alpha\)-stable processes via mild Kolmogorov equations
- Approximations of Lévy processes by integrated fast oscillating Ornstein–Uhlenbeck processes
- On the limit distribution for stochastic differential equations driven by cylindrical non-symmetric α-stable Lévy processes
- Approximation of the invariant measure of stable SDEs by an Euler-Maruyama scheme
- Harnack inequalities for functional SDEs driven by subordinate Volterra-Gaussian processes
- Approximation of the invariant measure for stable stochastic differential equations by the Euler-Maruyama scheme with decreasing step sizes
- Gradient estimates for semigroups associated with stochastic differential equations driven by cylindrical Lévy processes
- A unified approach to gradient type formulas for decoupled FBSDEs and some applications
- Harnack inequalities for functional SDEs driven by fractional Ornstein-Uhlenbeck process
- Optimal Wasserstein-1 distance between SDEs driven by Brownian motion and stable processes
- The -dependence of the invariant measure for the stochastic Navier-Stokes equation driven by -stable Lévy processes
- Stationary distributions of McKean-Vlasov SDEs with jumps: existence, multiplicity and uniqueness
- Global attracting set, exponential decay and stability in distribution of neutral SPDEs driven by additive -stable processes
- Second order derivative formulas and Hessian estimates for SDEs driven by Brownian motion and -stable processes
- A note on stability of SPDEs driven by \(\alpha\)-stable noises
- Probabilistic approach for semi-linear stochastic fractal equations
- Strong Feller property for one-dimensional Lévy processes driven stochastic differential equations with Hölder continuous coefficients
- Gradient estimates and applications for SDEs in Hilbert space with multiplicative noise and Dini continuous drift
This page was built for publication: Derivative formulas and gradient estimates for SDEs driven by \(\alpha\)-stable processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1939337)
