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Gradient estimates for some diffusion semigroups, Probab
 Theory Relat. Fields
"... Abstract. Consider the semigroup Pt of an elliptic diffusion; we describe a simple stochastic method providing gradient estimates on Ptf. If N is a manifold endowed with a connection, the method can also be applied to the associated nonlinear semigroup Qt acting on Nvalued maps. With a localizatio ..."
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Abstract. Consider the semigroup Pt of an elliptic diffusion; we describe a simple stochastic method providing gradient estimates on Ptf. If N is a manifold endowed with a connection, the method can also be applied to the associated nonlinear semigroup Qt acting on Nvalued maps. With a localization technique, we deduce gradient estimates for real harmonic functions or Nvalued harmonic maps. Moreover, the results are extended to a class of hypoelliptic diffusions.
The BismutElworthyLi formula for jumpdiffusions and applications to Monte
, 2007
"... We extend the BismutElworthyLi formula to nondegenerate jump diffusions and ”payoff ” functions depending on the process at multiple future times. In the spirit of Fournié et al [14] and Davis and Johansson [10] this can improve Monte Carlo numerics for stochastic volatility models with jumps. To ..."
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We extend the BismutElworthyLi formula to nondegenerate jump diffusions and ”payoff ” functions depending on the process at multiple future times. In the spirit of Fournié et al [14] and Davis and Johansson [10] this can improve Monte Carlo numerics for stochastic volatility models with jumps. To this end one needs socalled Malliavin weights and we give explicit formulae valid in presence of jumps: (a) In a nondegenerate situation, the extended BEL formula represents possible Malliavin weights as Ito integrals with explicit integrands; (b) in a hypoelliptic setting we review work of Arnaudon and Thalmaier [1] and also find explicit weights, now involving the Malliavin covariance matrix, but still straightforward to implement. (This is in contrast to recent work by Forster, Lütkebohmert and Teichmann where weights are constructed as anticipating Skorohod integrals.) We give some financial examples covered by (b) but note that most practical cases of poor Monte Carlo performance, Digital Cliquet contracts for instance, can be dealt with by the extended BEL formula and hence without any reliance on Malliavin calculus at all. We then discuss some of the approximations, often ignored in the literature, needed to justify the use of the Malliavin weights in the context of standard jump diffusion models. Finally, as all this is meant to improve numerics, we give some numerical results with focus on Cliquets under the Heston model with jumps. 1 1