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arXiv · 1202.3627

Harnack Inequalities and Applications for Stochastic Differential Equations Driven by Fractional Brownian Motion

Xi-Liang Fan
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Abstract

In the paper, Harnack inequalities are established for stochastic differential equations driven by fractional Brownian motion with Hurst parameter $H<1/2$. As applications, strong Feller property, log-Harnack inequality and entropy-cost inequality are given.

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Xi-Liang Fan. 2012-02-16. Harnack Inequalities and Applications for Stochastic Differential Equations Driven by Fractional Brownian Motion. https://arxiv.org/abs/1202.3627

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