Derivative formulae for SDEs driven by multiplicative \(\alpha\)-stable-like processes

DOI10.1016/j.spa.2014.10.011zbMath1322.60098OpenAlexW2026386093MaRDI QIDQ2253847

Xicheng Zhang, Longjie Xie, Lin-Lin Wang

Publication date: 13 February 2015

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2014.10.011

zbMATH Keywords

gradient estimateMalliavin calculusstochastic differential equationstransition semigroupstable-like processderivative formulamultiplicative Lévy noise

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07) Stable stochastic processes (60G52) Transition functions, generators and resolvents (60J35)

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