IDEAS home Printed from https://ideas.repec.org/a/eee/spapps/v121y2011i3p466-478.html
   My bibliography  Save this article

Gradient estimate for Ornstein-Uhlenbeck jump processes

Author

Listed:
  • Wang, Feng-Yu

Abstract

By using absolutely continuous lower bounds of the Lévy measure, explicit gradient estimates are derived for the semigroup of the corresponding Lévy process with a linear drift. A derivative formula is presented for the conditional distribution of the process at time t under the condition that the process jumps before t. Finally, by using bounded perturbations of the Lévy measure, the resulting gradient estimates are extended to linear SDEs driven by Lévy-type processes.

Suggested Citation

  • Wang, Feng-Yu, 2011. "Gradient estimate for Ornstein-Uhlenbeck jump processes," Stochastic Processes and their Applications, Elsevier, vol. 121(3), pages 466-478, March.
    • Handle: RePEc:eee:spapps:v:121:y:2011:i:3:p:466-478
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0304-4149(10)00287-5
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Böttcher, Björn & Schilling, René L. & Wang, Jian, 2011. "Constructions of coupling processes for Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 121(6), pages 1201-1216, June.
    2. Yulin Song, 2020. "Gradient Estimates and Exponential Ergodicity for Mean-Field SDEs with Jumps," Journal of Theoretical Probability, Springer, vol. 33(1), pages 201-238, March.
    3. Wang, Jian, 2011. "Harnack inequalities for Ornstein-Uhlenbeck processes driven by Lévy processes," Statistics & Probability Letters, Elsevier, vol. 81(9), pages 1436-1444, September.
    4. Wang, Feng-Yu & Wang, Jian, 2013. "Coupling and strong Feller for jump processes on Banach spaces," Stochastic Processes and their Applications, Elsevier, vol. 123(5), pages 1588-1615.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:121:y:2011:i:3:p:466-478. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.