Harnack inequality and derivative formula for SDE driven by fractional Brownian motion  

作　　者：FAN XiLiang 

机构地区：[1]School of Mathematical Sciences, Beijing Normal University [2]Department of Mathematics, Anhui Normal University

出　　处：《Science China Mathematics》2013年第3期515-524,共10页中国科学：数学（英文版）

基　　金：supported by National Natural Science Foundation of China(Grant Nos.11131003 and 10901003);Specialized Research Fund for the Doctoral Program of Higher Education(Grant No.20100003110005);the Laboratory of Mathematical and Complex Systems;the Fundamental Research Funds for the Central Universities;Key Project of Chinese Ministry of Education(Grant No.211077)

摘　　要：In the paper, Harnack inequality and derivative formula are established for stochastic differential equation driven by fractional Brownian motion with Hurst parameter H < 1/2. As applications, strong Feller property, log-Harnack inequality and entropy-cost inequality are given.In the paper, Harnack inequality and derivative formula are established for stochastic differential equation driven by fractional Brownian motion with Hurst parameter H 1/2. As applications, strong Feller property, log-Harnack inequality and entropy-cost inequality are given.

关 键 词：Harnack inequality stochastic differential equation fractional Brownian motion 

分 类 号：O178[理学—数学] O211.63[理学—基础数学]