Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4589908 | Journal of Functional Analysis | 2015 | 25 Pages |
Abstract
Gradient estimates are derived, for the first time, for the semigroup associated to a class of stochastic differential equations driven by multiplicative Lévy noise. In particular, the estimates are sharp for α-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.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Algebra and Number Theory
Authors
Feng-Yu Wang, Lihu Xu, Xicheng Zhang,