Derivative formula for the Feynman–Kac semigroup of SDEs driven by rotationally invariant α-stable process

Xiaobin Sun, Longjie Xie and Yingchao Xie

Statistics & Probability Letters, 2020, vol. 158, issue C

Abstract: By using the time change argument, we establish the derivative formula as well as gradient estimate for the Feynman–Kac semigroup of stochastic differential equations driven by rotationally invariant α-stable process with β-Hölder continuous coefficient, where α∈(0,2) and β>1−α∕2.

Keywords: Feynman–Kac formula; Derivative formula; α-stable process (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1016/j.spl.2019.108664

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