Bismut–Elworthy–Li-Type Formulae for Stochastic Differential Equations with Jumps |
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Authors: | Atsushi Takeuchi |
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Institution: | 1.Department of Mathematics,Osaka City University,Osaka,Japan |
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Abstract: | We consider jump-type stochastic differential equations with drift, diffusion, and jump terms. Logarithmic derivatives of
densities for the solution process are studied, and Bismut–Elworthy–Li-type formulae are obtained under the uniformly elliptic
condition on the coefficients of the diffusion and jump terms. Our approach is based upon the Kolmogorov backward equation
by making full use of the Markov property of the process. |
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Keywords: | |
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