Gradient estimate for Ornstein-Uhlenbeck jump processes

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:121

Article

Wang, Feng-Yu^1,2,3 

[1] Beijing Normal Univ, Sch Math Sci, Beijing 100875, Peoples R China

[2] Beijing Normal Univ, Lab Math Com Sys, Beijing 100875, Peoples R China

[3] Swansea Univ, Dept Math, Swansea SA2 8PP, W Glam, Wales

关键词: Levy process;    Gradient estimate;    Subordination;    Compound Poisson process;   

DOI  :  10.1016/j.spa.2010.12.002

来源: Elsevier

【 摘 要 】

By using absolutely continuous lower bounds of the Levy measure, explicit gradient estimates are derived for the semigroup of the corresponding Levy process with a linear drift. A derivative formula is presented for the conditional distribution of the process at time t under the condition that the process jumps before t. Finally, by using bounded perturbations of the Levy measure, the resulting gradient estimates are extended to linear SDEs driven by Levy-type processes. (C) 2010 Elsevier B.V. All rights reserved.

【 授权许可】

Free