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

被引：0
作者：
XiLiang Fan
机构：
[1] Beijing Normal University,School of Mathematical Sciences
[2] Anhui Normal University,Department of Mathematics
来源：
Science China Mathematics | 2013年 / 56卷
关键词：
Harnack inequality; stochastic differential equation; fractional Brownian motion; 60H10; 60H30;
D O I：
暂无
中图分类号：
学科分类号：
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.
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页码：515 / 524
页数：9
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