Bilateral Harnack inequalities for stochastic differential equation with multiplicative noise

DOI10.1155/2022/5464688MaRDI QIDQ2171679zbMATH OpenOpenAlexWikidataFDO

Authors Zihao An, Gaofeng Zong

Publication date 9 September 2022

Published in Journal of Function Spaces (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2022/5464688

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Review text

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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Cited in

(2)

• Harnack inequality for semilinear SPDE with multiplicative noise
• Harnack inequalities for stochastic heat equation with locally unbounded drift

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