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

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

2012-04-12

arxiv.org/abs/1204.2630v2

Mathematics

Probability

13pages

Scientific paper

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

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