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arXiv · 1805.05639

Harnack and Shift Harnack Inequalities for SDEs with Integrable Drifts

Xing Huang
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Abstract

In this paper, the coupling by change of measure is constructed for a class of SDEs with integrable drift and additive noise, from which the Harnack and shift Harnack inequalities are derived. Finally, as applications, the gradient estimate, the regularity of the heat kernel and the distribution properties of the associated transition probability are also obtained. The important tool is Krylov's estimate.

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Xing Huang. 2018-05-15. Harnack and Shift Harnack Inequalities for SDEs with Integrable Drifts. https://arxiv.org/abs/1805.05639

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