Harnack Type Inequalities and Applications for SDE Driven by Fractional Brownian Motion
Probability
2015-06-17 v1
Abstract
For stochastic differential equation driven by fractional Brownian motion with Hurst parameter , Harnack type inequalities are established by constructing a coupling with unbounded time-dependent drift. These inequalities are applied to the study of existence and uniqueness of invariant measure for a discrete Markov semigroup constructed in terms of the distribution of the solution. Furthermore, we show that entropy-cost inequality holds for the invariant measure.
Keywords
Cite
@article{arxiv.1310.5932,
title = {Harnack Type Inequalities and Applications for SDE Driven by Fractional Brownian Motion},
author = {Xi-Liang Fan},
journal= {arXiv preprint arXiv:1310.5932},
year = {2015}
}