Harnack inequalities for SDEs driven by subordinate Brownian motions

DOI10.1016/J.JMAA.2014.03.082MaRDI QIDQ483039zbMATH OpenOpenAlexFDO

Authors Chang-Song Deng

Publication date 15 December 2014

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmaa.2014.03.082

zbMATH Keywords

couplingHarnack inequalityLévy processstochastic differential equationssubordinate Brownian motion

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65)

Review text

The central aim of this work is to investigate Harnack inequalities for stochastic differential equations (SDEs) driven by subordinate Brownian motions. Some basic notations for subordinate Brownian motions are recalled. It is mentioned that subordinate Brownian motion is obtained by replacing the time of Brownian motion by an independent subordinator, and this fact allows to study subordinate Brownian motion by non-random time-changed Brownian motion. Further, inhomogeneous multidimensional SDEs with subordinate Brownian motion are studied under conditions that guarantee existence, uniqueness and non-explosion of the solutions. It is explained that when the underlying semigroup is not regular enough to satisfy the gradient estimate, the coupling method turned out to be very efficient to establish Harnack type inequalities. By using regularization approximations of the underlying subordinator and a gradient estimate approach, the authors get the dimension-independent Harnack inequalities for the inhomogeneous semigroup associated with a class of SDEs with Lévy noise containing a subordinate Brownian motion.

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Cites work

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Cited in

(17)

• Harnack inequalities for SDEs driven by subordinator fractional Brownian motion
• Harnack inequalities for stochastic heat equation with locally unbounded drift
• Harnack inequalities for functional SDEs driven by subordinate Brownian motions
• Harnack inequalities for McKean-Vlasov SDEs driven by subordinate Brownian motions
• Harnack inequalities for stochastic equations driven by Lévy noise
• Harnack inequalities for SDEs driven by cylindrical -stable processes
• Dimension-independent Harnack inequalities for subordinated semigroups
• Algebraic ergodicity for SDEs driven by Lévy processes
• scientific article; zbMATH DE number 1500594 (Why is no real title available?)
• HARNACK INEQUALITIES FOR EXOTIC BROWNIAN MOTIONS
• On shift Harnack inequalities for subordinate semigroups and moment estimates for Lévy processes
• Harnack inequalities for functional SDEs driven by subordinate multifractional Brownian motion
• Singular integrals of subordinators with applications to structural properties of SPDEs
• Subgeometric rates of convergence for Markov processes under subordination
• Harnack inequalities for functional SDEs driven by subordinate fractional Brownian motion
• Harnack inequalities for functional SDEs driven by subordinate Volterra-Gaussian processes
• Strong Feller property for one-dimensional Lévy processes driven stochastic differential equations with Hölder continuous coefficients

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