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

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Contributors

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

Original languageEnglish
Article number71
JournalElectronic journal of probability
Volume22
Publication statusPublished - 2017
Peer-reviewedYes

Keywords

Keywords

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