Bilateral Harnack inequalities for stochastic differential equation with multiplicative noise (Q2171679)
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scientific article; zbMATH DE number 7583303
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| English | Bilateral Harnack inequalities for stochastic differential equation with multiplicative noise |
scientific article; zbMATH DE number 7583303 |
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Bilateral Harnack inequalities for stochastic differential equation with multiplicative noise (English)
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9 September 2022
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Summary: By constructing a coupling with unbounded time-dependent drift, a lower bound estimate of dimension-free Harnack inequality with power is obtained for a large class of stochastic differential equation with multiplicative noise. The key is an application of the inverse Hölder inequality. Combining this with the well-known upper bound, bilateral dimension-free Harnack inequality with power is established. As a dual inequality, the bilateral shift-Harnack inequalities with power are also investigated for stochastic differential equation with additive noise. Applications to the study of heat kernel inequalities are provided to illustrate the obtained inequalities.
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