Derivative formulae for stochastic differential equations driven by Poisson random measures

作者：Ren, Jiagang; Zhang, Hua^*

来源：Journal of Mathematical Analysis and Applications, 2018, 462(1): 554-576.

DOI：10.1016/j.jmaa.2018.02.026

• Stochastic differential equations
• Levy processes
• Poisson functional
• Dirichlet form
• Derivative formulae
• Gradient estimate

We establish some new derivative formulae of Bismut-Elworthy-Li's type for stochastic differential equations with respect to Poisson point processes using the lent particle method created by Bouleau and Denis.

• 出版日期2018-6-1
• 单位华中科技大学; 江西财经大学; 中山大学