Derivative formula for the Feynman–Kac semigroup of SDEs driven by rotationally invariant [formula omitted]-stable process.

By using the time change argument, we establish the derivative formula as well as gradient estimate for the Feynman–Kac semigroup of stochastic differential equations driven by rotationally invariant α -stable process with β -Hölder continuous coefficient, where α ∈ (0 , 2) and β > 1 − α ∕ 2. [ABSTRACT FROM AUTHOR]