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

Min Liu; Liping Xu; Zhi Li; Zhong Chen

doi:10.4208/jpde.v30.n1.7

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

Authors

Min Liu School of Information and Mathematics, Yangtze University, Jingzhou 434023, China
Liping Xu School of Information and Mathematics, Yangtze University, Jingzhou 434023, China
Zhi Li School of Information and Mathematics, Yangtze University, Jingzhou 434023, China
Zhong Chen School of Information and Mathematics, Yangtze University, Jingzhou 434023, China

DOI:

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

Keywords:

Fractional Brownian motion;Harnack inequality;strong Feller property

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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Published

2018-08-16

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Issue

Vol. 30 No. 1 (2017)

Section

Articles

How to Cite

Harnack Inequality and Applications for Stochastic Retarded Differential Equations Driven by Fractional Brownian Motion. (2018). Journal of Partial Differential Equations, 30(1), 84-94. https://doi.org/10.4208/jpde.v30.n1.7