Harnack and log Harnack Inequalities for $G$-SDEs with Multiplicative Noise
Probability
2019-12-11 v2
Abstract
The Harnack and log Harnack inequalities for stochastic differential equation driven by -Brownian motion with multiplicative noise are derived by means of coupling by change of mesure. All of the above results extend the existing ones in the linear expectation setting. Moreover, the gradient estimate generalize the nonlinear results appeared in [11].
Keywords
Cite
@article{arxiv.1907.02317,
title = {Harnack and log Harnack Inequalities for $G$-SDEs with Multiplicative Noise},
author = {Fen-Fen Yang},
journal= {arXiv preprint arXiv:1907.02317},
year = {2019}
}
Comments
21 pages