Harnack inequalities for SDEs driven by cylindrical $α$-stable processes

Linlin Wang; Xicheng Zhang

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arXiv · 1310.3927

Harnack inequalities for SDEs driven by cylindrical $α$-stable processes

Linlin Wang·Xicheng Zhang

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Abstract

By using the coupling argument, we establish the Harnack and log-Harnack inequalites for stochastic differential equations with non-Lipschitz drifts and driven by additive anisotropic subordinated Brownian motions (in particular, cylindrical $α$-stable processes). Moreover, the gradient estimate is also derived when the drift is Lipschitz continuous.

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Linlin Wang, Xicheng Zhang. 2013-11-22. Harnack inequalities for SDEs driven by cylindrical $α$-stable processes. https://arxiv.org/abs/1310.3927

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