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arXiv · 1310.5932

Harnack Type Inequalities and Applications for SDE Driven by Fractional Brownian Motion

Xi-Liang Fan
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Abstract

For stochastic differential equation driven by fractional Brownian motion with Hurst parameter $H>1/2$, Harnack type inequalities are established by constructing a coupling with unbounded time-dependent drift. These inequalities are applied to the study of existence and uniqueness of invariant measure for a discrete Markov semigroup constructed in terms of the distribution of the solution. Furthermore, we show that entropy-cost inequality holds for the invariant measure.

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Xi-Liang Fan. 2013-10-22. Harnack Type Inequalities and Applications for SDE Driven by Fractional Brownian Motion. https://doi.org/10.1007/s11425-013-4569-1

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