Work

Derivative formula and gradient estimate for SDEs driven by $α$-stable processes

Year: 2012

Type: preprint

Abstract: 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 $α$-stable noises, where $α\in(0,2)$. As an application, the strong Feller property for stochastic partial differential equations driven by subordinated cylindrical Brownian motions is presented.

Source: arXiv (Cornell University)

DOI: 10.48550/arxiv.1204.2630

Author: Zhang, Xicheng

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funder: Program for New Century Excellent Talents in University

OpenAlex ID: W1415575748

Cites: 2

Cited by: 23

Related to: 10