Harnack Inequality for Functional SDEs with Bounded Memory
Probability
2009-10-26 v1
Abstract
We use a coupling method for functional stochastic differential equations with bounded memory to establish an analogue of Wang's dimension-free Harnack inequality \cite{MR1481127}. The strong Feller property for the corresponding segment process is also obtained.
Cite
@article{arxiv.0910.4536,
title = {Harnack Inequality for Functional SDEs with Bounded Memory},
author = {A. Es-Sarhir and M-K. von Renesse and M. Scheutzow},
journal= {arXiv preprint arXiv:0910.4536},
year = {2009}
}
Comments
5 pages