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

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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)

Cites Work

• The Malliavin Calculus and Related Topics
• Formulae for the derivatives of heat semigroups
• Coupling and harmonic functions in the case of continuous time Markov processes
• On the coupling property of Lévy processes
• Title not available (Why is that?)
• On the coupling property and the Liouville theorem for Ornstein-Uhlenbeck processes
• Derivative formulas and gradient estimates for SDEs driven by \(\alpha\)-stable processes
• Integration by parts formula for locally smooth laws and applications to sensitivity computations
• Densities for Ornstein-Uhlenbeck processes with jumps
• Gradient estimate for Ornstein-Uhlenbeck jump processes
• Gradient estimates and Harnack inequalities on non-compact Riemannian manifolds
• The Malliavin calculus for pure jump processes and applications to local time
• Bismut-Elworthy-Li-type formulae for stochastic differential equations with jumps
• Title not available (Why is that?)
• Gradient estimates and coupling property for semilinear SDEs driven by jump processes
• Coupling and applications

Cited In (3)

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

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