Harnack inequality for mean-field stochastic differential equations

DOI10.1016/j.spl.2013.01.035zbMath1287.60077OpenAlexW1997722057MaRDI QIDQ385119

Gaofeng Zong, Zeng-Jing Chen

Publication date: 29 November 2013

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2013.01.035

zbMATH Keywords

Harnack inequalitystochastic differential equationsbackward stochastic differential equationcouplingmean-field models

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (1)

Linear-quadratic optimal control problems for mean-field stochastic differential equation with Lévy process

Cites Work

• Mean-field backward stochastic Volterra integral equations
• Adapted solution of a backward stochastic differential equation
• Log-Harnack inequality for stochastic Burgers equations and applications
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• Mean-field reflected backward stochastic differential equations
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• Harnack inequalities for functional SDEs with multiplicative noise and applications
• Mean-field backward stochastic differential equations and related partial differential equations
• Gradient estimates and Harnack inequalities on non-compact Riemannian manifolds
• Mean-field backward stochastic differential equations: A limit approach
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• Mean field games
• Logarithmic Sobolev inequalities on noncompact Riemannian manifolds
• On the small time asymptotics of diffusion processes on path groups
• Equivalent Harnack and gradient inequalities for pointwise curvature lower bound
• Singular stochastic equations on Hilbert spaces: Harnack inequalities for their transition semigroups
• Harnack inequality and heat kernel estimates on manifolds with curvature unbounded below
• LOG-HARNACK INEQUALITY FOR STOCHASTIC DIFFERENTIAL EQUATIONS IN HILBERT SPACES AND ITS CONSEQUENCES

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