Derivative formulas and gradient estimates for SDEs driven by -stable processes

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• 作者：Xicheng Zhang ; ^{XichengZhang@gmail.com}
• 关键词：Derivative formulas ; Gradient estimates ; ¦Á-stable processes
• 刊名：Stochastic Processes and their Applications
• 出版年：2013
• 出版时间：April, 2013
• 年：2013
• 卷：123
• 期：4
• 页码：1213-1228
• 全文大小：232 K

文摘

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