相关论文: The Bismut-Elworthy-Li type formulae for stochasti…

Under nondegeneracy assumptions on the diffusion coefficients, we establish the derivative formulae of Bismut-Elworthy-Li's type for forward-backward stochastic differential equations with respect to Poisson random measure using the lent…

We generalise the so-called Bismut-Elworthy-Li formula to a class of stochastic differential equations whose coefficients might depend on the law of the solution. We give some examples of where this formula can be applied to in the context…

In this paper we study properties of solutions to stochastic differential equations with Sobolev diffusion coefficients and singular drifts. The properties we study include stability with respect to the coefficients, weak differentiability…

In this paper we prove a derivative formula of Bismut-Elworthy-Li's type as well as gradient estimate for stochastic differential equations driven by $\alpha$-stable noises, where $\alpha\in(0,2)$. As an application, the strong Feller…

We extend the Bismut-Elworthy-Li formula to non-degenerate jump diffusions and "payoff" functions depending on the process at multiple future times. In the spirit of Fournie et al [13] and Davis and Johansson [9] this can improve Monte…

As a simplified model for subsurface flows elliptic equations may be utilized. Insufficient measurements or uncertainty in those are commonly modeled by a random coefficient, which then accounts for the uncertain permeability of a given…

A class of (possibly) degenerate integro-differential equations of parabolic type is considered, which includes the Kolmogorov equations for jump diffusions. Existence and uniqueness of the solutions are established in Bessel potential…

We formulate a new class of stochastic partial differential equations (SPDEs), named high-order vector backward SPDEs (B-SPDEs) with jumps, which allow the high-order integral-partial differential operators into both drift and diffusion…

In this work we mainly prove the existence and pathwise uniqueness of solutions to general backward doubly stochastic differential equations with jumps appearing in both forward and backward integral parts. Several comparison theorems under…

We consider a one-dimensional Stochastic Differential Equation with reflection where we allow the drift to be merely bounded and measurable. It is already known that such equations have a unique strong solution. Recently, it has been shown…

We establish the existence of weak martingale solutions to a class of second order parabolic stochastic partial differential equations. The equations are driven by multiplicative jump type noise, with a non-Lipschitz multiplicative…

In this paper, we study the convergence for solutions to a sequence of (possibly degenerate) stochastic differential equations with jumps, when the coefficients converge in some appropriate sense. Our main tools are the superposition…

In this paper we derive a Bismut-Elworthy formula under assumptions weaker than the non degeneracy of the noise. By Bismut-Elworthy formula we mean a gradient type estimate on the transition semigroup of a stochastic differential equation…

Consider stochastic functional differential equations, whose coefficients depend on past histories. The solution determines a non-Markov process. In the present paper, we shall obtain the existence of smooth densities for joint…

In this paper, the existence and pathwise uniqueness of strong solutions for jump-type stochastic differential equations are investigated under non-Lipschitz conditions. A sufficient condition is obtained for ensuring the non-confluent…

This paper considers multidimensional jump type stochastic differential equations with super linear growth and non-Lipschitz coefficients. After establishing a sufficient condition for nonexplosion, this paper presents sufficient…

General stochastic equations with jumps are studied. We provide criteria for the uniqueness and existence of strong solutions under non-Lipschitz conditions of Yamada-Watanabe type. The results are applied to stochastic equations driven by…

The classical result by It\^o on the existence of strong solutions of stochastic differential equations (SDEs) with Lipschitz coefficients can be extended to the case where the drift is only measurable and bounded. These generalizations are…

The problem of the construction of strong approximations with a given order of convergence for jump-diffusion equations is studied. General approximation schemes are constructed for L\'evy type stochastic differential equation. In…

We consider a stochastic functional delay differential equation, namely an equation whose evolution depends on its past history as well as on its present state, driven by a pure diffusive component plus a pure jump Poisson compensated…