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

Xicheng Zhang

Stochastic Processes and their Applications, 2013, vol. 123, issue 4, 1213-1228

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.

Keywords: Derivative formulas; Gradient estimates; α-stable processes (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:123:y:2013:i:4:p:1213-1228

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DOI: 10.1016/j.spa.2012.11.012

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