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Bismut-Elworthy-Li-type formulae for stochastic differential equations with jumps. (English) Zbl 1202.60092
The author considers jump-type stochastic differential equations with drift, diffusion and jump terms and studies the logarithmic derivatives of densities. The approach is based upon the Kolmogorov backward equation. This study is very useful in mathematical finance.

MSC:
60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
60H07 Stochastic calculus of variations and the Malliavin calculus
60J75 Jump processes (MSC2010)
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