Harnack inequality and derivative formula for SDE driven by fractional Brownian motion

DOI10.1007/s11425-013-4569-1zbMath1273.60068arXiv1310.5932MaRDI QIDQ362535

Xiliang Fan

Publication date: 22 August 2013

Published in: Science China. Mathematics, Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1310.5932

zbMATH Keywords

stochastic differential equation; Harnack inequality; fractional Brownian motion; coupling; Harnack inequalities

Mathematics Subject Classification ID

60G22: Fractional processes, including fractional Brownian motion

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

47D07: Markov semigroups and applications to diffusion processes

60H30: Applications of stochastic analysis (to PDEs, etc.)

60H15: Stochastic partial differential equations (aspects of stochastic analysis)