Harnack-type inequality for linear fractional stochastic equations-Reference-Cited by-同舟云学术

Harnack-type inequality for linear fractional stochastic equations

Published:2020-11-07 Issue:4 Volume:28 Page:281-290
ISSN:1569-397X
Container-title:Random Operators and Stochastic Equations
language:en
Short-container-title:

Author:

Boufoussi Brahim¹,Mouchtabih Soufiane¹

Affiliation:

1. Department of Mathematics , Faculty of Sciences Semlalia , Cadi Ayyad University , 2390 Marrakesh , Morocco

Abstract

Abstract Using the coupling method and Girsanov theorem, we prove a Harnack-type inequality for a stochastic differential equation with non-Lipschitz drift and driven by a fractional Brownian motion with Hurst parameter H < 1 2

{H<\frac{1}{2}}

. We also investigate this inequality for a stochastic differential equation driven by an additive fractional Brownian sheet.

Publisher

Walter de Gruyter GmbH

Subject

Statistics and Probability,Analysis

Link

https://www.degruyter.com/document/doi/10.1515/rose-2020-2046/pdf

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