Harnack Inequalities for Stochastic (Functional) Differential Equations with Non-Lipschitzian Coefficients
Probability
2012-08-28 v1
Abstract
By using coupling arguments, Harnack type inequalities are established for a class of stochastic (functional) differential equations with multiplicative noises and non-Lipschitzian coefficients. To construct the required couplings, two results on existence and uniqueness of solutions on an open domain are presented.
Cite
@article{arxiv.1208.5094,
title = {Harnack Inequalities for Stochastic (Functional) Differential Equations with Non-Lipschitzian Coefficients},
author = {Jinghai Shao and Feng-Yu Wang and Chenggui Yuan},
journal= {arXiv preprint arXiv:1208.5094},
year = {2012}
}
Comments
22 pages