Harnack Inequality for Functional SDEs with Bounded Memory

2009/10/23 by Abdelhadi Es–Sarhir, A. Es-Sarhir, Es-Sarhir, A. +5
Economics, Econometrics and Finance · Engineering · Mathematics · #34K50 #60J65 #FOS: Mathematics #Nonlinear Partial Differential Equations #Probability (math.PR) #Stability and Controllability of Differential Equations #Stochastic processes and financial applications #math.PR #msc:34K50 #msc:60J65

paper · pdf · doi:10.48550/arxiv.0910.4536

5 pages

arxiv created 2009/10/23 · openalex publication_date 2009/10/23 · arxiv updated 2009/12/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

We use a coupling method for functional stochastic differential equations with bounded memory to establish an analogue of Wang's dimension-free Harnack inequality \citeMR1481127. The strong Feller property for the corresponding segment process is also obtained.

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