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  • Search: subject:"Stable-like process"
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Stable-like process 2 Derivative formula 1 Ergodicity 1 Foster–Lyapunov criteria 1 Gradient estimate 1 Harris recurrence 1 Malliavin calculus 1 Recurrence 1 Transience 1
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Article 2
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Sandrić, Nikola 1 Wang, Linlin 1 Xie, Longjie 1 Zhang, Xicheng 1
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Stochastic Processes and their Applications 2
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RePEc 2
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Derivative formulae for SDEs driven by multiplicative α-stable-like processes
Wang, Linlin; Xie, Longjie; Zhang, Xicheng - In: Stochastic Processes and their Applications 125 (2015) 3, pp. 867-885
By using Bismut’s approach to the Malliavin calculus with jumps, we establish a derivative formula of Bismut–Elworthy–Li’s type for SDEs driven by multiplicative Lévy noises, whose Lévy measure satisfies some order conditions. In particular, α-stable-like noises are allowed. Moreover,...
Persistent link: https://www.econbiz.de/10011194143
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Long-time behavior of stable-like processes
Sandrić, Nikola - In: Stochastic Processes and their Applications 123 (2013) 4, pp. 1276-1300
In this paper, we consider a long-time behavior of stable-like processes. A stable-like process is a Feller process …
Persistent link: https://www.econbiz.de/10011065126
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