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

Xicheng Zhang

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arXiv · 1204.2630

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

Xicheng Zhang

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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 $α\in(0,2)$. As an application, the strong Feller property for stochastic partial differential equations driven by subordinated cylindrical Brownian motions is presented.

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Xicheng Zhang. 2012-04-22. Derivative formula and gradient estimate for SDEs driven by $α$-stable processes. https://arxiv.org/abs/1204.2630

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