Gradient estimates for SDEs Driven by Multiplicative L\'evy Noise
Probability
2015-05-28 v2 Analysis of PDEs
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 -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.
Cite
@article{arxiv.1301.4528,
title = {Gradient estimates for SDEs Driven by Multiplicative L\'evy Noise},
author = {Feng-Yu Wang and Lihu Xu and Xicheng Zhang},
journal= {arXiv preprint arXiv:1301.4528},
year = {2015}
}
Comments
21pp