Derivative formulae for stochastic differential equations driven by Poisson random measures

Ren Jiagang; Zhang Hua

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Derivative formulae for stochastic differential equations driven by Poisson random measures

机译：泊松随机措施驱动的随机微分方程的衍生公式

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摘要

We establish some new derivative formulae of Bismut-Elworthy-Li's type for stochastic differential equations with respect to Poisson point processes using the lent particle method created by Bouleau and Denis. (C) 2018 Elsevier Inc. All rights reserved.

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来源
《Journal of Mathematical Analysis and Applications》 |2018年第1期|共23页
作者
Ren Jiagang; Zhang Hua;
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作者单位

Sun Yat Sen Univ Sch Math Guangzhou 510275 Guangdong Peoples R China;

Jiangxi Univ Finance &

Econ Sch Stat Nanchang 330013 Jiangxi Peoples R China;

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原文格式 PDF
正文语种 eng
中图分类数学分析;应用数学;
关键词
Stochastic differential equations; Levy processes; Poisson functional; Dirichlet form; Derivative formulae; Gradient estimate;

机译：随机微分方程;征收过程;泊松功能;Dirichlet形式;衍生公式;梯度估计;

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专利

1. Derivative formulae for stochastic differential equations driven by Poisson random measures [J] . Ren Jiagang, Zhang Hua Journal of Mathematical Analysis and Applications . 2018,第1期

机译：泊松随机措施驱动的随机微分方程的衍生公式
2. An averaging principle for neutral stochastic functional differential equations driven by Poisson random measure [J] . Wei Mao, Xuerong Mao Advances in Difference Equations . 2016,第1期

机译：泊松随机测度驱动的中立型随机泛函微分方程的平均原理
3. Backward stochastic differential equations with Markov switching driven by Brownian motion and Poisson random measure [J] . Shi Jingtao, Wu Zhen Stochastics: An International Journal of Probability and Stochastic Processes . 2015,第1a3期

机译：布朗运动和泊松随机测度驱动的马尔可夫切换的倒向随机微分方程
4. Numerical simulation of stochastic differential equations under Poisson white noise with random parameters [C] . Ihsane Salleh, Mohamed Ben Said, Lahcen Azrar International Conference on Innovative Research in Applied Science, Engineering and Technology . 2020

机译：带有随机参数的泊松白噪声下随机微分方程的数值模拟。
5. Nuclear space-valued stochastic differential equations driven by Poisson random measures. [D] . Xiong, Jie. 1992

机译：泊松随机测度驱动的核空间值随机微分方程。
6. Analytical Solutions for Multi-Time Scale Fractional Stochastic Differential Equations Driven by Fractional Brownian Motion and Their Applications [O] . Xiao-Li Ding, Juan J. Nieto 2018

机译：分数褐色运动及其应用驱动的多时间尺度分数随机微分方程的分析解
7. An averaging principle for neutral stochastic functional differential equations driven by Poisson random measure [O] . Wei Mao, Xuerong Mao 2016

机译：泊松随机测度驱动的中立型随机泛函微分方程的平均原理
8. Asymptotic Behavior of a System of Interacting Nuclear Space-Valued StochasticDifferential Equations Driven by Poisson Random Measures [R] . Kallianpur, G., Xiong, J. 1994

机译：poisson随机测度驱动的核空间值随机微分方程组的渐近性

Derivative formulae for stochastic differential equations driven by Poisson random measures

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