Harnack Inequalities and Applications for Stochastic Differential Equations Driven by Fractional Brownian Motion
Probability
2012-02-17 v1
Abstract
In the paper, Harnack inequalities are established for stochastic differential equations driven by fractional Brownian motion with Hurst parameter . As applications, strong Feller property, log-Harnack inequality and entropy-cost inequality are given.
Keywords
Cite
@article{arxiv.1202.3627,
title = {Harnack Inequalities and Applications for Stochastic Differential Equations Driven by Fractional Brownian Motion},
author = {Xi-Liang Fan},
journal= {arXiv preprint arXiv:1202.3627},
year = {2012}
}