Harnack Inequalities and Applications for Stochastic Differential Equations Driven by Fractional Brownian Motion

arXiv1202.3627MaRDI QIDQ6231076FDOQ6231076

Authors: Xiliang Fan 

Publication date: 16 February 2012

Abstract: In the paper, Harnack inequalities are established for stochastic differential equations driven by fractional Brownian motion with Hurst parameter $H<1/2$. As applications, strong Feller property, log-Harnack inequality and entropy-cost inequality are given.

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