Derivative formula and coupling property for linear SDEs driven by Lévy processes

DOI10.1007/S10255-019-0863-1zbMATH Open1431.60047OpenAlexW2996428739MaRDI QIDQ2300512FDOQ2300512

Authors Zhao Dong, Yulin Song, Yingchao Xie 

Publication date 27 February 2020

Published in Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10255-019-0863-1

zbMATH Keywords

derivative formulaintegration by parts formulacoupling propertyLévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Probabilistic potential theory (60J45) Jump processes on general state spaces (60J76)

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Cites Work

• scientific article; zbMATH DE number 4060469 (Why is no real title available?)
• scientific article; zbMATH DE number 46016 (Why is no real title available?)
• Bismut-Elworthy-Li-type formulae for stochastic differential equations with jumps
• Coupling and applications
• Coupling and harmonic functions in the case of continuous time Markov processes
• Densities for Ornstein-Uhlenbeck processes with jumps
• Derivative formulas and gradient estimates for SDEs driven by \(\alpha\)-stable processes
• Formulae for the derivatives of heat semigroups
• Gradient estimate for Ornstein-Uhlenbeck jump processes
• Gradient estimates and Harnack inequalities on non-compact Riemannian manifolds
• Gradient estimates and coupling property for semilinear SDEs driven by jump processes
• Integration by parts formula for locally smooth laws and applications to sensitivity computations
• On the coupling property and the Liouville theorem for Ornstein-Uhlenbeck processes
• On the coupling property of Lévy processes
• The Malliavin Calculus and Related Topics
• The Malliavin calculus for pure jump processes and applications to local time

Cited In (7)

• A unified approach to coupling SDEs driven by Lévy noise and some applications
• Coupling property and gradient estimates of Lévy processes via the symbol
• Successful couplings for a class of stochastic differential equations driven by Lévy processes
• Gradient estimates and coupling property for semilinear SDEs driven by jump processes
• Gradient formula for transition semigroup corresponding to stochastic equation driven by a system of independent Lévy processes
• Derivative formula and Harnack inequality for SDEs driven by Lévy processes
• Derivative formula and exponential convergence for semilinear SPDEs driven by Lévy processes

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