Gradient formula for transition semigroup corresponding to stochastic equation driven by a system of independent Lévy processes

DOI10.1007/S00030-022-00810-2MaRDI QIDQ2104027zbMATH OpenOpenAlexFDO

Authors Szymon Peszat, A. M. Kulik, E. Priola

Publication date 9 December 2022

Published in NoDEA. Nonlinear Differential Equations and Applications (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2006.09133

zbMATH Keywords

Malliavin calculusbismut-elworthy-Li formulaLévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Jump processes on general state spaces (60J76)

Abstract: Let $(P_t)$ be the transition semigroup of the Markov family $(X^x(t))$ defined by SDE ${\displaystyle }$ d X= b(X) dt + d Z, qquad X(0)=x, ${\displaystyle }$ where $Z=left(Z_1,ldots,Z_{d}ight{)}^{\ast }$ is a system of independent real-valued L'evy processes. Using the Malliavin calculus we establish the following gradient formula ${\displaystyle }$ abla P_tf(x)= mathbb{E}, fleft(X^x(t) ight) Y(t,x), qquad fin B_b(mathbb{R}^d), ${\displaystyle }$ where the random field $Y$ does not depend on $f$. Sharp estimates on $abla{P}_{t}f(x)$ when $Z_1,ldots,Z_d$ are $alpha$-stable processes, $alphain(0,2)$, are also given.

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Cited in

(1)

• Semigroup properties of solutions of SDEs driven by Lévy processes with independent coordinates

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