Derivative formulas and gradient estimates for SDEs driven by alpha-stable processes

作者：Zhang, Xicheng^*

来源：Stochastic Processes and Their Applications, 2013, 123(4): 1213-1228.

DOI：10.1016/j.spa.2012.11.012

• Derivative formulas
• Gradient estimates
• alpha-stable processes

In this paper we prove a derivative formula of Bismut-Elworthy-Li's type as well as a gradient estimate for stochastic differential equations driven by alpha-stable noises, where alpha is an element of (0, 2). As an application, the strong Feller property for stochastic partial differential equations driven by subordinated cylindrical Brownian motions is presented.

• 出版日期2013-4
• 单位武汉大学