Abstract
Consider stochastic differential equations with jumps. The goal in this paper is to study the sensitivity of the solution with respect to the initial point, under the conditions on the Lévy measure and the uniformly elliptic condition on the coefficients. The key tool is the martingale property based upon the Kolmogorov backward equation for the infinitesimal generator associated with the equation.
Mathematics Subject Classification (2000). 60H30, 60J75, 60H07.
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Takeuchi, A. (2011). Sensitivity Analysis for Jump Processes. In: Kohatsu-Higa, A., Privault, N., Sheu, SJ. (eds) Stochastic Analysis with Financial Applications. Progress in Probability, vol 65. Springer, Basel. https://doi.org/10.1007/978-3-0348-0097-6_14
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DOI: https://doi.org/10.1007/978-3-0348-0097-6_14
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