Derivative formulas and gradient estimates for SDEs driven by α-stable processes

Xicheng Zhang

doi:10.1016/j.spa.2012.11.012

Derivative formulas and gradient estimates for SDEs driven by α-stable processes

Xicheng Zhang^*

^*Corresponding author for this work

Wuhan University

Research output: Contribution to journal › Article › peer-review

70 Citations (Scopus)

Abstract

In this paper we prove a derivative formula of Bismut-Elworthy-Li's type as well as a gradient estimate for stochastic differential equations driven by α-stable noises, where α∈(0,2). As an application, the strong Feller property for stochastic partial differential equations driven by subordinated cylindrical Brownian motions is presented.

Original language	English
Pages (from-to)	1213-1228
Number of pages	16
Journal	Stochastic Processes and their Applications
Volume	123
Issue number	4
DOIs	https://doi.org/10.1016/j.spa.2012.11.012
Publication status	Published - 2013
Externally published	Yes

Keywords

Derivative formulas
Gradient estimates
α-stable processes

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10.1016/j.spa.2012.11.012

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title = "Derivative formulas and gradient estimates for SDEs driven by α-stable processes",

abstract = "In this paper we prove a derivative formula of Bismut-Elworthy-Li's type as well as a gradient estimate for stochastic differential equations driven by α-stable noises, where α∈(0,2). As an application, the strong Feller property for stochastic partial differential equations driven by subordinated cylindrical Brownian motions is presented.",

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AB - In this paper we prove a derivative formula of Bismut-Elworthy-Li's type as well as a gradient estimate for stochastic differential equations driven by α-stable noises, where α∈(0,2). As an application, the strong Feller property for stochastic partial differential equations driven by subordinated cylindrical Brownian motions is presented.

KW - Derivative formulas

KW - Gradient estimates

KW - α-stable processes

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U2 - 10.1016/j.spa.2012.11.012

DO - 10.1016/j.spa.2012.11.012

M3 - Article

AN - SCOPUS:84872352806

SN - 0304-4149

VL - 123

SP - 1213

EP - 1228

JO - Stochastic Processes and their Applications

JF - Stochastic Processes and their Applications

IS - 4

ER -

Derivative formulas and gradient estimates for SDEs driven by α-stable processes

Abstract

Keywords

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