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arXiv · 1104.5531

Derivative Formula and Harnack Inequality for Linear SDEs Driven by Lévy Processes

Feng-Yu Wang
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Abstract

By using lower bound conditions of the Lévy measure, derivative formulae and Harnack inequalities are derived for linear stochastic differential equations driven by Lévy processes. As applications, explicit gradient estimates and heat kernel inequalities are presented. As byproduct, a new Girsanov theorem for Lévy processes is derived.

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Feng-Yu Wang. 2013-08-20. Derivative Formula and Harnack Inequality for Linear SDEs Driven by Lévy Processes. https://doi.org/10.1080/07362994.2013.836976

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