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

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.