Gradient estimates for SDEs driven by multiplicative Levy noise

被引：27
|
作者：
Wang, Feng-Yu [1 ,2 ]
Xu, Lihu [3 ]
Zhang, Xicheng [4 ,5 ]
机构：
[1] Beijing Normal Univ, Sch Math Sci, Beijing 100875, Peoples R China
[2] Swansea Univ, Dept Math, Swansea SA2 8PP, W Glam, Wales
[3] Univ Macau, Fac Sci & Technol, Taipa Macau, Peoples R China
[4] Wuhan Univ, Sch Math & Stat, Wuhan 430072, Peoples R China
[5] Wuhan Univ, Computat Sci Hubei Key Lab, Wuhan 430072, Peoples R China
来源：
JOURNAL OF FUNCTIONAL ANALYSIS | 2015年 / 269卷 / 10期
关键词：
Gradient estimate; Derivative formula; Levy process; Time-change; HARNACK INEQUALITY; STOCHASTIC-EQUATIONS; DERIVATIVE FORMULAS; MANIFOLDS;
D O I：
10.1016/j.jfa.2015.09.007
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
Gradient estimates are derived, for the first time, for the semi-group associated to a class of stochastic differential equations driven by multiplicative Levy noise. In particular, the estimates are sharp for a-stable type noises. To derive these estimates, a new derivative formula of Bismut-Elworthy-Li's type is established for the semigroup by using the Malliavin calculus and a finite-jump approximation argument. (C) 2015 Elsevier Inc. All rights reserved.
引用
收藏
页码：3195 / 3219
页数：25
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