Integration by Parts Formula and Applications for SDEs with Lévy Noise

2013/08/27 by Feng‐Yu Wang, Wang, Feng-Yu · 2 citations
Economics, Econometrics and Finance · Mathematics · #Stochastic processes and financial applications #Stochastic processes and statistical mechanics #Financial Risk and Volatility Modeling

paper · pdf · doi:10.48550/arxiv.1308.5799

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 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.

Cited by

• Harnack inequalities for 1-d stochastic Klein-Gordon type equations
• Integration by parts formula and applications for SDE driven by fractional Brownian motion
• Distribution-Dependent Stochastic Functional Differential Equations

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