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

页码：602 / 618

页数：17

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