Harnack inequalities for SDEs with multiplicative noise and non-regular drift

DOI10.1142/S021949371550015XzbMATH Open1319.60129arXiv1310.4382MaRDI QIDQ5255757FDOQ5255757

Authors: Huai-Qian Li, Jian Wang, Dejun Luo 

Publication date: 19 June 2015

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

Abstract: The log-Harnack inequality and Harnack inequality with powers for semigroups associated to SDEs with non-degenerate diffusion coefficient and non-regular time-dependent drift coefficient are established, based on the recent papers cite{Flandoli, Zhang11}. We consider two cases in this work: (1) the drift fulfills the LPS-type integrability, and (2) the drift is uniformly H"older continuous with respect to the spatial variable. Finally, by using explicit heat kernel estimates for the stable process with drift, the Harnack inequality for the stochastic differential equation driven by symmetric stable process is also proved.

Full work available at URL: https://arxiv.org/abs/1310.4382

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zbMATH Keywords

stochastic differential equationHarnack inequalitiesZvonkin transformationHölder continuityLPS condition

Mathematics Subject Classification ID

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

Cites Work

• Harnack inequalities for stochastic partial differential equations
• Well-posedness of the transport equation by stochastic perturbation
• Strong solutions of stochastic equations with singular time dependent drift
• Analysis and geometry of Markov diffusion operators
• Logarithmic Sobolev inequalities on noncompact Riemannian manifolds
• Harnack inequalities for stochastic equations driven by Lévy noise
• Harnack inequality for SDE with multiplicative noise and extension to Neumann semigroup on nonconvex manifolds
• Derivative formulas and gradient estimates for SDEs driven by \(\alpha\)-stable processes
• Strong solutions of SDEs with singular drift and Sobolev diffusion coefficients
• Noise prevents singularities in linear transport equations
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• Log-Harnack inequality for stochastic differential equations in Hilbert spaces and its consequences
• Hölder flow and differentiability for SDEs with nonregular drift
• Harnack inequalities and heat kernel estimates for SDEs with singular drifts
• Harnack inequalities for Ornstein-Uhlenbeck processes driven by Lévy processes

Cited In (20)

• Harnack inequalities for stochastic (functional) differential equations with non-Lipschitzian coefficients
• Log-Harnack inequality for stochastic differential equations in Hilbert spaces and its consequences
• Harnack inequality and applications for stochastic evolution equations with monotone drifts
• Harnack inequalities for SDEs driven by cylindrical \(\alpha\)-stable processes
• Harnack inequalities for functional SDEs with multiplicative noise and applications
• Strong Feller property and continuous dependence on initial data for one-dimensional stochastic differential equations with Hölder continuous coefficients
• Strong Feller property for one-dimensional Lévy processes driven stochastic differential equations with Hölder continuous coefficients
• Harnack and shift Harnack inequalities for SDEs with integrable drifts
• Regularities and exponential ergodicity in entropy for SDEs driven by distribution dependent noise
• Distribution dependent reflecting stochastic differential equations
• Harnack inequality for SDE with multiplicative noise and extension to Neumann semigroup on nonconvex manifolds
• Quantitative stability estimates for Fokker-Planck equations
• A Zvonkin's transformation for stochastic differential equations with singular drift and applications
• Gradient estimates and applications for SDEs in Hilbert space with multiplicative noise and Dini continuous drift
• Integrability conditions for SDEs and semilinear SPDEs
• Harnack inequality for distribution dependent second-order stochastic differential equations
• Large deviation principle for SDEs with Dini continuous drifts
• Bilateral Harnack inequalities for stochastic differential equation with multiplicative noise
• Heat kernel estimates for Dirichlet fractional Laplacian with gradient perturbation
• Harnack inequalities and heat kernel estimates for SDEs with singular drifts

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