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

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

Year:    2017

Author:    Min Liu, Liping Xu, Zhi Li, Zhong Chen

Journal of Partial Differential Equations, Vol. 30 (2017), Iss. 1 : pp. 84–94

Abstract

In this paper, by using a semimartingale approximation of a fractional stochastic integration, the global Harnack inequalities for stochastic retarded differential equations driven by fractional Brownian motion with Hurst parameter 0 ‹ H ‹ 1 are established. As applications, strong Feller property, log-Harnack inequality and entropycost inequality are given.

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Journal Article Details

Publisher Name:    Global Science Press

Language:    English

DOI:    https://doi.org/10.4208/jpde.v30.n1.7

Journal of Partial Differential Equations, Vol. 30 (2017), Iss. 1 : pp. 84–94

Published online:    2017-01

AMS Subject Headings:   

Copyright:    COPYRIGHT: © Global Science Press

Pages:    11

Keywords:    Fractional Brownian motion

Author Details

Min Liu

Liping Xu

Zhi Li

Zhong Chen