Harnack inequality and derivative formula for SDE driven by fractional Brownian motion

被引：17
作者：
Fan XiLiang [1 ,2 ]
机构：
[1] Beijing Normal Univ, Sch Math Sci, Beijing 100875, Peoples R China
[2] Anhui Normal Univ, Dept Math, Wuhu 241003, Peoples R China
来源：
SCIENCE CHINA-MATHEMATICS | 2013年 / 56卷 / 03期
基金：
中国国家自然科学基金;
关键词：
Harnack inequality; stochastic differential equation; fractional Brownian motion; LOGARITHMIC SOBOLEV INEQUALITIES; DIFFERENTIAL-EQUATIONS; FUNCTIONAL INEQUALITIES; STOCHASTIC CALCULUS; TIME ASYMPTOTICS; RESPECT;
D O I：
10.1007/s11425-013-4569-1
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
In the paper, Harnack inequality and derivative formula are established for stochastic differential equation 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.
引用
收藏
页码：515 / 524
页数：10
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