Gradient estimate for Ornstein-Uhlenbeck jump processes

被引：30

作者：

Wang, Feng-Yu ^{[1
,2
,3
]}

机构：

[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

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2011年 / 121卷 / 03期

关键词：

Levy process; Gradient estimate; Subordination; Compound Poisson process;

D O I：

10.1016/j.spa.2010.12.002

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

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.

引用

页码：466 / 478

页数：13

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