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Derivative Formulae and Gradient Estimates for Stochastic Hamiltonian Systems with Jumps
This paper is concerned with stochastic Hamiltonian systems driven by Lévy processes. By employing the lent particle method developed by Bouleau and Denis in the framework of Malliavin calculus with jumps, we establish an explicit Bismut--Elworthy--Li type derivative formula for the associated Marko
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