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Derivative Formula and Coupling Property for Linear SDEs Driven by Lévy Processes

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Abstract

In this paper we investigate an integration by parts formula for Lévy processes by using lower bound conditions of the corresponding Lévy measure. As applications, derivative formula and coupling property are derived for transition semigroups of linear SDEs driven by Lévy processes.

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Acknowledgements

The authors would like to thank Professor Feng-Yu Wang for valuable discussions and anonymous referees for their careful corrections to the first draft of this paper.

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Authors and Affiliations

  1. Institute of Applied Mathematics, Academy of Mathematics and Systems Sciences, Chinese Academy of Sciences, Beijing, 100190, China

    Zhao Dong

  2. School of Mathematical Sciences, Beijing Normal University, Beijing, 100875, China

    Yu-lin Song

  3. School of Mathematics and Statistics, Jiangsu Normal University, Jiangsu Province, Xuzhou, 221116, China

    Ying-chao Xie

Authors
  1. Zhao Dong
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  2. Yu-lin Song
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  3. Ying-chao Xie
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Corresponding author

Correspondence to Yu-lin Song.

Additional information

Supported by the National Natural Science Foundation of China (10971180), (11271169) and A Project Funded by the Priority Academic Program Development (PAPD) of Jiangsu Higher Education Institutions.

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Dong, Z., Song, Yl. & Xie, Yc. Derivative Formula and Coupling Property for Linear SDEs Driven by Lévy Processes. Acta Math. Appl. Sin. Engl. Ser. 35, 708–721 (2019). https://doi.org/10.1007/s10255-019-0863-1

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  • DOI: https://doi.org/10.1007/s10255-019-0863-1

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