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

2012/04/12 by Xicheng Zhang, Zhang, Xicheng · 4 citations
Economics, Econometrics and Finance · Mathematics · #60H15 #FOS: Mathematics #Geometric Analysis and Curvature Flows #Mathematical Biology Tumor Growth #Probability (math.PR) #Stochastic processes and financial applications #math.PR #msc:60H15

paper · pdf · doi:10.48550/arxiv.1204.2630

13pages

openalex publication_date 2012/04/12 · arxiv created 2012/04/22 · arxiv updated 2012/04/24 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

In this paper we prove a derivative formula of Bismut-Elworthy-Li's type as well as gradient estimate for stochastic differential equations driven by α-stable noises, where α∈(0,2). As an application, the strong Feller property for stochastic partial differential equations driven by subordinated cylindrical Brownian motions is presented.

Citations

• Gradient Estimate and Harnack Inequality on Non-Compact Riemannian Manifolds

Cited by

• Stochastic flows for Lévy processes with Hölder drifts
• Integration by Parts Formula and Applications for SPDEs with Jumps
• Gradient estimates for SDEs Driven by Multiplicative Lévy Noise
• Exponential Ergodicity of stochastic Burgers equations driven by α-stable processes

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