Derivative formulae for SDEs driven by multiplicative \(\alpha\)-stable-like processes
DOI10.1016/j.spa.2014.10.011zbMath1322.60098OpenAlexW2026386093MaRDI QIDQ2253847
Xicheng Zhang, Longjie Xie, Lin-Lin Wang
Publication date: 13 February 2015
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2014.10.011
gradient estimateMalliavin calculusstochastic differential equationstransition semigroupstable-like processderivative formulamultiplicative Lévy noise
Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07) Stable stochastic processes (60G52) Transition functions, generators and resolvents (60J35)
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