Gradient estimates for SDEs driven by multiplicative Lévy noise

DOI10.1016/J.JFA.2015.09.007MaRDI QIDQ499592zbMATH OpenOpenAlexFDO

Authors Feng-Yu Wang, Lihu Xu, Xicheng Zhang

Publication date 30 September 2015

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

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

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)

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.

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Cited in

(42)

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