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

2012/02/16 by Xiliang Fan, Xi-Liang Fan, Fan, Xi-Liang
Economics, Econometrics and Finance · Mathematics · #FOS: Mathematics #Nonlinear Differential Equations Analysis #Nonlinear Partial Differential Equations #Probability (math.PR) #Stochastic processes and financial applications #math.PR

paper · pdf · doi:10.48550/arxiv.1202.3627

arxiv created 2012/02/16 · openalex publication_date 2012/02/16 · arxiv updated 2012/02/17 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

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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