Integration by Parts Formula and Applications for SPDEs with Jumps

2016/01/08 by Feng‐Yu Wang, Wang, Feng-Yu
Economics, Econometrics and Finance · Mathematics · #FOS: Mathematics #Geometric Analysis and Curvature Flows #Nonlinear Partial Differential Equations #Probability (math.PR) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1601.01733

openalex publication_date 2016/01/08 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

By using the Malliavin calculus and finite jump approximations, the Driver-type integration by parts formula is established for the semigroup associated to stochastic (partial) differential equations with noises containing a subordinate Brownian motion. As applications, the shift Harnack inequality and heat kernel estimates are derived. The main results are illustrated by SDEs driven by å-stable like processes.

Citations

• Derivative formula and gradient estimate for SDEs driven by α-stable processes

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