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

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Listed:
  • Sun, Xiaobin
  • Xie, Longjie
  • Xie, Yingchao

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.

Suggested Citation

  • 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).
    • Handle: RePEc:eee:stapro:v:158:y:2020:i:c:s0167715219303104
    DOI: 10.1016/j.spl.2019.108664
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    References listed on IDEAS

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    1. 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.
    2. 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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