Gradient estimates for SDEs driven by multiplicative Lévy noise

DOI10.1016/J.JFA.2015.09.007zbMATH Open1325.60099arXiv1301.4528OpenAlexW2124968262MaRDI QIDQ499592FDOQ499592

Authors: Feng-Yu Wang, Lihu Xu, Xicheng Zhang 

Publication date: 30 September 2015

Published in: Journal of Functional Analysis (Search for Journal in Brave)

Abstract: Gradient estimates are derived, for the first time, for the semigroup associated to a class of stochastic differential equations driven by multiplicative L'evy noise. In particular, the estimates are sharp for $alpha$-stable type noises. To derive these estimates, a new derivative formula of Bismut-Elworthy-Li's type is established for the semigroup by using the Malliavin calculus and a finite-jump approximation argument.

Full work available at URL: https://arxiv.org/abs/1301.4528

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zbMATH Keywords

Malliavin calculusstochastic differential equationsgradient estimatesderivative formulamultiplicative Lévy noise

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)

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Cited In (42)

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