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

Abstract

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.

13pages

References in corpus (2)

• Integration by parts formula for locally smooth laws and applications to sensitivity computations
• Gradient Estimate and Harnack Inequality on Non-Compact Riemannian Manifolds

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