Derivative formulas and gradient estimates for SDEs driven by α-stable processes
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DOI: 10.1016/j.spa.2012.11.012
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References listed on IDEAS
- Zhang, Xicheng, 2010. "Stochastic flows and Bismut formulas for stochastic Hamiltonian systems," Stochastic Processes and their Applications, Elsevier, vol. 120(10), pages 1929-1949, September.
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Cited by:
- Sun, Xiaobin & Xie, Longjie & Xie, Yingchao, 2020. "Derivative formula for the Feynman–Kac semigroup of SDEs driven by rotationally invariant α-stable process," Statistics & Probability Letters, Elsevier, vol. 158(C).
- Luo, Dejun & Wang, Jian, 2019. "Refined basic couplings and Wasserstein-type distances for SDEs with Lévy noises," Stochastic Processes and their Applications, Elsevier, vol. 129(9), pages 3129-3173.
- Liu, Xianming, 2022. "Limits of invariant measures of stochastic Burgers equations driven by two kinds of α-stable processes," Stochastic Processes and their Applications, Elsevier, vol. 146(C), pages 1-21.
- Xie, Yingchao & Zhang, Qi & Zhang, Xicheng, 2014. "Probabilistic approach for semi-linear stochastic fractal equations," Stochastic Processes and their Applications, Elsevier, vol. 124(12), pages 3948-3964.
- Yan, Litan & Yin, Xiuwei, 2018. "Bismut formula for a stochastic heat equation with fractional noise," Statistics & Probability Letters, Elsevier, vol. 137(C), pages 165-172.
- Wang, Linlin & Xie, Longjie & Zhang, Xicheng, 2015. "Derivative formulae for SDEs driven by multiplicative α-stable-like processes," Stochastic Processes and their Applications, Elsevier, vol. 125(3), pages 867-885.
- Wang, Ran & Xu, Lihu, 2018. "Asymptotics for stochastic reaction–diffusion equation driven by subordinate Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 128(5), pages 1772-1796.
- Karipova, Gulnur & Magdziarz, Marcin, 2017. "Pricing of basket options in subdiffusive fractional Black–Scholes model," Chaos, Solitons & Fractals, Elsevier, vol. 102(C), pages 245-253.
- 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.
- Zhao, Huiyan & Xu, Siyan, 2020. "A stochastic Fubini theorem for α-stable process," Statistics & Probability Letters, Elsevier, vol. 160(C).
- Li, Zhi & Yan, Litan, 2018. "Harnack inequalities for SDEs driven by subordinator fractional Brownian motion," Statistics & Probability Letters, Elsevier, vol. 134(C), pages 45-53.
- Zhang, Hua, 2021. "Strong Feller property for one-dimensional Lévy processes driven stochastic differential equations with Hölder continuous coefficients," Statistics & Probability Letters, Elsevier, vol. 169(C).
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Keywords
Derivative formulas; Gradient estimates; α-stable processes;All these keywords.
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