Article ID Journal Published Year Pages File Type
4589908 Journal of Functional Analysis 2015 25 Pages PDF
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.

Related Topics
Physical Sciences and Engineering Mathematics Algebra and Number Theory
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