Harnack-Type Inequalities and Applications for SDE Driven by Fractional Brownian Motion

被引：13
|
作者：
Fan, Xi-Liang [1 ]
机构：
[1] Anhui Normal Univ, Dept Math, Wuhu 241003, Peoples R China
来源：
STOCHASTIC ANALYSIS AND APPLICATIONS | 2014年 / 32卷 / 04期
基金：
中国国家自然科学基金;
关键词：
Fractional Brownian motion; Harnack inequality; Coupling; DIFFERENTIAL-EQUATIONS; MULTIPLICATIVE NOISE; STOCHASTIC CALCULUS; TIME ASYMPTOTICS; MANIFOLDS; INTEGRATION; SEMIGROUPS; RESPECT;
D O I：
10.1080/07362994.2014.907745
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
For stochastic differential equation driven by fractional Brownian motion with Hurst parameter H > 1/2, Harnack-type inequalities are established by constructing a coupling with unbounded time-dependent drift. These inequalities are applied to the study of existence and uniqueness of invariant measure for a discrete Markov semigroup constructed in terms of the distribution of the solution. Furthermore, we show that entropy-cost inequality holds for the invariant measure.
引用
收藏
页码：602 / 618
页数：17
相关论文
共 50 条
12345