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^*

^*此作品的通讯作者

Wuhan University

科研成果: 期刊稿件 › 文章 › 同行评审

70 引用（Scopus）

摘要

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.

源语言	英语
页（从-至）	1213-1228
页数	16
期刊	Stochastic Processes and their Applications
卷	123
期	4
DOI	https://doi.org/10.1016/j.spa.2012.11.012
出版状态	已出版 - 2013
已对外发布	是

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10.1016/j.spa.2012.11.012

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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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DO - 10.1016/j.spa.2012.11.012

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

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