Integration by Parts Formula and Applications for SDEs with Lévy Noise

Feng-Yu Wang

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arXiv · 1308.5799

Integration by Parts Formula and Applications for SDEs with Lévy Noise

Feng-Yu Wang

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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.

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Feng-Yu Wang. 2013-08-27. Integration by Parts Formula and Applications for SDEs with Lévy Noise. https://arxiv.org/abs/1308.5799

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