Bismut–Elworthy–Li-Type Formulae for Stochastic Differential Equations with Jumps
Bismut–Elworthy–Li-Type Formulae for Stochastic Differential Equations with Jumps
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DOI：
10.1007/s10959-010-0280-0
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发表时间：
2010-02
影响因子：
0.8
通讯作者：
Atsushi Takeuchi
中科院分区：
文献类型：
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作者：
Atsushi Takeuchi
考虑了带漂移项、扩散项和跳项的跳型随机微分方程。在一致椭圆条件下，研究了解过程的密度对数导数，得到了扩散项和跳跃项系数的Bismut-Elworthy-Li型公式.我们的方法是基于Kolmogorov向后方程，充分利用马尔可夫过程的性质。
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.