In this paper we investigate an integration by parts formula for Lévy processes by using lower bound conditions of the corresponding Lévy measure. As applications, derivative formula and coupling property are derived for transition semigroups of linear SDEs driven by Lévy processes.
Zhao DONG
,
Yu-lin SONG
,
Ying-chao XIE
. Derivative Formula and Coupling Property for Linear SDEs Driven by Lévy Processes[J]. 应用数学学报(英文), 2019
, 35(4)
: 708
-721
.
DOI: 10.1007/s10255-019-0863-1
In this paper we investigate an integration by parts formula for Lévy processes by using lower bound conditions of the corresponding Lévy measure. As applications, derivative formula and coupling property are derived for transition semigroups of linear SDEs driven by Lévy processes.
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