Derivative formulae for SDEs driven by multiplicative α-stable-like processes
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DOI: 10.1016/j.spa.2014.10.011
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References listed on IDEAS
- Chen, Zhen-Qing & Kumagai, Takashi, 2003. "Heat kernel estimates for stable-like processes on d-sets," Stochastic Processes and their Applications, Elsevier, vol. 108(1), pages 27-62, November.
- Zhang, Xicheng, 2013. "Derivative formulas and gradient estimates for SDEs driven by α-stable processes," Stochastic Processes and their Applications, Elsevier, vol. 123(4), pages 1213-1228.
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Cited by:
- 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).
- 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).
- Xia, Pengcheng & Xie, Longjie & Zhang, Xicheng & Zhao, Guohuan, 2020. "Lq(Lp)-theory of stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 130(8), pages 5188-5211.
- Liang, Mingjie & Wang, Jian, 2020. "Gradient estimates and ergodicity for SDEs driven by multiplicative Lévy noises via coupling," Stochastic Processes and their Applications, Elsevier, vol. 130(5), pages 3053-3094.
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Keywords
Derivative formula; Gradient estimate; Stable-like process; Malliavin calculus;All these keywords.
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