Related papers: Harnack inequalities for SDEs driven by cylindrica…

In the recent article [A. Jentzen, B. Kuckuck, T. M\"uller-Gronbach, and L. Yaroslavtseva, arXiv:1904.05963 (2019)] it has been proved that the solutions to every additive noise driven stochastic differential equation (SDE) which has a…

This paper deals with the consistency and a rate of convergence for a Nadaraya-Watson estimator of the drift function of a stochastic differential equation driven by an additive fractional noise. The results of this paper are obtained via…

We consider the system of stochastic differential equation $dX_t = A(X_{t-}) \, dZ_t$, $ X_0 = x$, driven by cylindrical $\alpha$-stable process $Z_t$ in $\mathbb{R}^d$. We assume that $A(x) = (a_{ij}(x))$ is diagonal and $a_{ii}(x)$ are…

We consider a stochastic differential equation involving standard and fractional Brownian motion with unknown drift parameter to be estimated. We investigate the standard maximum likelihood estimate of the drift parameter, two non-standard…

We prove a full Harnack inequality for local minimizers, as well as weak solutions to nonlocal problems with non-standard growth. The main auxiliary results are local boundedness and a weak Harnack inequality for functions in a…

We consider non-parametric Bayesian estimation of the drift coefficient of a one-dimensional stochastic differential equation from discrete-time observations on the solution of this equation. Under suitable regularity conditions that are…

We study pathwise approximation of scalar stochastic differential equations at a single time point or globally in time by means of methods that are based on finitely many observations of the driving Brownian motion. We prove lower error…

In this paper we consider Harnack inequalities with respect to a symmetric $\alpha$-stable L\'evy process $X$ in $\mathbb{R}^d$, $\alpha \in (0,2)$, $d\geq 2$. We study the example from the article \cite{bg-sz-1}. There, the authors have…

Based on coupling in two steps and the regularization approximations of the underlying subordinators, we establish log-Harnack inequalities for Markov semigroups generated by a class of non-local Gruschin type operators. Some concrete…

In this work, we consider the stochastic Cauchy problem driven by the canonical $\alpha$-stable cylindrical L\'evy process. This noise naturally generalises the cylindrical Brownian motion or space-time Gaussian white noise. We derive a…

We consider a problem of statistical estimation of an unknown drift parameter for a stochastic differential equation driven by fractional Brownian motion. Two estimators based on discrete observations of solution to the stochastic…

For second-order elliptic or parabolic equations with subcritical or critical drifts, it is well-known that the Harnack inequality holds and their bounded weak solutions are H\"older continuous. We construct time-independent supercritical…

For time-homogeneous stochastic differential equations (SDEs) it is enough to know that the coefficients are Lipschitz to conclude existence and uniqueness of a solution, as well as the existence of a strongly convergent numerical method…

We give a proof of the strong existence and the regularity of stochastic differential equations driven by a Brownian motion and a measurable, Markovian drift without no regularity hypothesis except that the Girsanov exponential associated…

In this paper, we establish some Harnack type inequalities satisfied by positive solutions of nonlocal inhomogeneous equations arising in the description of various phenomena ranging from population dynamics to micro-magnetism. For regular…

We consider a one-dimensional stochastic differential equations (SDE) with irregular coefficients. The purpose of this paper is to estimate the $L^p(\Omega)$-difference of SDEs using the norm of the difference of coefficients, where the…

This paper concerns the boundary behavior of solutions of certain fully nonlinear equations with a general drift term. We elaborate on the non-homogeneous generalized Harnack inequality proved by the second author in (Julin, ARMA -15), to…

Consider the stochastic evolution equation in a separable Hilbert space with a nice multiplicative noise and a locally Dini continuous drift. We prove that for any initial data the equation has a unique (possibly explosive) mild solution.…

In this article, new curvature conditions are introduced to establish functional inequalities including gradient estimates, Harnack inequalities and transportation-cost inequalities on manifolds with non-convex boundary.

In this paper, we show the weak and strong well-posedness of density dependent stochastic differential equations driven by $\alpha$-stable processes with $\alpha \in(1,2)$. The existence part is based on Euler's approximation as…