Derivative Formula and Harnack Inequality for Jump Processes

Details Derivative Formula and Harnack Inequality for Jump Processes Derivative Formula and Harnack Inequality for Jump Processes

2011-04-29

arxiv.org/abs/1104.5531v4

Mathematics

Probability

26 pages

Scientific paper

By using lower bound conditions of the L\'evy measure, derivative formulae
and Harnack inequalities are derived for linear stochastic differential
equations driven by L\'evy processes. As applications, explicit gradient
estimates and heat kernel inequalities are presented. As byproduct, a new
Girsanov theorem for L\'evy processes is derived.

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