Harnack inequalities for SDEs driven by cylindrical α-stable processes

2013/10/15 by Linlin Wang, Xicheng Zhang, Wang, Linlin +1
Mathematics · #60H10 #FOS: Mathematics #Probability (math.PR) #math.PR #msc:60H10

paper · pdf · doi:10.48550/arxiv.1310.3927

11

arxiv created 2013/11/22 · arxiv updated 2013/11/25

Abstract

By using the coupling argument, we establish the Harnack and log-Harnack inequalites for stochastic differential equations with non-Lipschitz drifts and driven by additive anisotropic subordinated Brownian motions (in particular, cylindrical α-stable processes). Moreover, the gradient estimate is also derived when the drift is Lipschitz continuous.

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