Bismut-Elworthy-Li-type formulae for stochastic differential equations with jumps

DOI10.1007/S10959-010-0280-0zbMATH Open1202.60092arXiv1002.1384OpenAlexW2039754057MaRDI QIDQ975336FDOQ975336

Atsushi Takeuchi

Publication date: 9 June 2010

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Abstract: Consider jump-type stochastic differential equations with the drift, diffusion and jump terms. Logarithmic derivatives of densities for the solution process are studied, and the Bismut-Elworthy-Li type formulae can be obtained under the uniformly elliptic condition on the coefficients of the diffusion and jump terms. Our approach is based upon the Kolmogorov backward equation by making full use of the Markovian property of the process.

Full work available at URL: https://arxiv.org/abs/1002.1384

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zbMATH Keywords

Malliavin calculusHeat kernelJump processLogarithmic derivative

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cited In (21)

• Regularity for distribution-dependent SDEs driven by jump processes
• Integration by parts formulas for marked Hawkes processes
• Derivative formulae for SDEs driven by multiplicative \(\alpha\)-stable-like processes
• Derivative formulae for stochastic differential equations driven by Poisson random measures
• Bismut formula for Lions derivative of distribution-path dependent SDEs
• GREEKS FORMULAS FOR AN ASSET PRICE MODEL WITH GAMMA PROCESSES
• Irreducibility and exponential mixing of some stochastic hydrodynamical systems driven by pure jump noise
• Strong Feller property for SDEs driven by multiplicative cylindrical stable noise
• Bismut formula for intrinsic/Lions derivatives of distribution dependent SDEs with singular coefficients
• Derivative Formula and Harnack Inequality for SDEs Driven by Lévy Processes
• Gradient estimates and ergodicity for SDEs driven by multiplicative Lévy noises via coupling
• Computation of Greeks for asset price dynamics driven by stable and tempered stable processes
• Exponential ergodicity and regularity for equations with Lévy noise
• Gradient estimates and coupling property for semilinear SDEs driven by jump processes
• Gradient formulas for jump processes on manifolds
• Ergodicity of stochastic shell models driven by pure jump noise
• Gradient formula for transition semigroup corresponding to stochastic equation driven by a system of independent Lévy processes
• Derivative formula and coupling property for linear SDEs driven by Lévy processes
• On Malliavin's proof of Hörmander's theorem
• Derivative formula and exponential convergence for semilinear SPDEs driven by Lévy processes
• Computing deltas without derivatives

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