DERIVATIVE FORMULA AND HARNACK INEQUALITY FOR DEGENERATE FUNCTIONAL SDEs

DOI10.1142/S021949371250013XzbMath1262.60052arXiv1109.3907MaRDI QIDQ4908347

Chenggui Yuan, Jianhai Bao, Feng-Yu Wang

Publication date: 5 March 2013

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1109.3907

zbMATH Keywords

gradient estimate; Harnack inequality; coupling; derivative formula; functional stochastic differential equation

Mathematics Subject Classification ID

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

47G20: Integro-differential operators

Related Items

Bismut type derivative formulae and gradient estimate for multiplicative SDEs with fractional noises, Asymptotic Bismut formulae for stochastic functional differential equations with infinite delay, Bismut formulas and applications for stochastic (functional) differential equations driven by fractional Brownian motions, Bismut formulae and applications for functional SPDEs, Asymptotic log-Harnack inequality and applications for stochastic systems of infinite memory, Harnack and shift Harnack inequalities for degenerate (functional) stochastic partial differential equations with singular drifts, Order preservation for multidimensional stochastic functional differential equations with jumps, Derivative formulas and applications for degenerate stochastic differential equations with fractional noises, Integration by parts formula and shift Harnack inequality for stochastic equations, Bismut formula for Lions derivative of distribution-path dependent SDEs

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