Harnack Inequality and Gradient Estimate for G-SDEs with Degenerate Noise

arXiv1812.04290MaRDI QIDQ6311006FDOQ6311006

Authors: Xing Huang, Fen-fen Yang 

Publication date: 11 December 2018

Abstract: In this paper, the Harnack inequalities for $G$-SDEs with degenerate noise are derived by method of coupling by change of measure. Moreover, the gradient estimate for the associated nonlinear semigroup $$ ${\displaystyle }$| abla �ar{P}_t f|leq c(p,t)(�ar{P}_t |f|^p)^{frac{1}{p}}, p>1, t>0${\displaystyle }$ is also obtained for bounded and continuous function $f$. As an application of Harnack inequality, we prove the weak existence of degenerate $G$-SDEs under some integrable conditions. Finally, an example is presented. All of the above results extends the existed results in the linear expectation setting.

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