Harnack inequalities for SDEs driven by time-changed fractional brownian motions

Publikation: Beitrag in FachzeitschriftForschungsartikelBeigetragenBegutachtung

Beitragende

Abstract

We establish Harnack inequalities for stochastic differential equations (SDEs) driven by a time-changed fractional Brownian motion with Hurst parameter H ∈ (0, 1/2). The Harnack inequality is dimension-free if the SDE has a drift which satisfies a one-sided Lipschitz condition; otherwise we still get Harnack-type estimates, but the constants will, in general, depend on the space dimension. Our proof is based on a coupling argument and a regularization argument for the time-change.

Details

OriginalspracheEnglisch
Aufsatznummer71
FachzeitschriftElectronic journal of probability
Jahrgang22
PublikationsstatusVeröffentlicht - 2017
Peer-Review-StatusJa

Schlagworte

Schlagwörter

  • Fractional Brownian motion, Harnack inequality, Random time-change, References, Stochastic differential equation