2 papers
math.PR2026
Integration by Parts Formulas of Mckean-Vlasov SDEs with Jumps and Some Applications
Yao Chen, Jiagang Ren, Hua Zhang
In this article, we establish integration by parts formulas for the solutions of McKean-Vlasov stochastic differential equations with jumps under elliptic coefficients. The derived…
math.PR2025
Bismut-Elworthy-Li Formulae for Forward-Backward SDEs with Jumps and Applications
Jiagang Ren, Hua Zhang
Under nondegeneracy assumptions on the diffusion coefficients, we establish the derivative formulae of Bismut-Elworthy-Li's type for forward-backward stochastic differential equati…