Derivative Formula and Harnack Inequality for SDEs Driven by Lévy Processes

DOI10.1080/07362994.2013.836976zbMath1296.60230arXiv1104.5531OpenAlexW1979500940MaRDI QIDQ5416834

Feng-Yu Wang

Publication date: 15 May 2014

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

Full work available at URL: https://arxiv.org/abs/1104.5531

zbMATH Keywords

Harnack inequalitysemigroupsheat kernelGirsanov theoremgradient estimatesMecke formulaLévy jump proces

Mathematics Subject Classification ID

Related Items (7)

Strong Feller property for one-dimensional Lévy processes driven stochastic differential equations with Hölder continuous coefficients ⋮ Bismut type derivative formulae and gradient estimate for multiplicative SDEs with fractional noises ⋮ Harnack inequalities for SDEs driven by subordinate Brownian motions ⋮ \(\Phi\)-entropy inequality and application for SDEs with jumps ⋮ Gradient estimates for SDEs driven by multiplicative Lévy noise ⋮ Statistical inference for misspecified ergodic Lévy driven stochastic differential equation models ⋮ Derivative formulas and applications for degenerate stochastic differential equations with fractional noises

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