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,...
