Gradient estimate for Ornstein-Uhlenbeck jump processes |
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Authors: | Feng-Yu Wang |
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Affiliation: | School of Mathematical Sci. and Lab. Math. Com. Sys., Beijing Normal University, Beijing 100875, China Department of Mathematics, Swansea University, Singleton Park, SA2 8PP, UK |
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Abstract: | By using absolutely continuous lower bounds of the Lévy measure, explicit gradient estimates are derived for the semigroup of the corresponding Lévy 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 Lévy measure, the resulting gradient estimates are extended to linear SDEs driven by Lévy-type processes. |
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Keywords: | 60J75 60J45 |
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