Harnack-type inequality for linear fractional stochastic equations

IF 0.3 Q4 STATISTICS & PROBABILITY
B. Boufoussi, S. Mouchtabih
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引用次数: 0

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.
线性分式随机方程的Harnack型不等式
摘要利用耦合方法和Girsanov定理,证明了Hurst参数H<12{H<\frac{1}{2}的分数布朗运动驱动的非Lipschitz漂移随机微分方程的Harnack型不等式。我们还研究了由加性分数布朗片驱动的随机微分方程的这个不等式。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
Random Operators and Stochastic Equations
Random Operators and Stochastic Equations STATISTICS & PROBABILITY-
CiteScore
0.60
自引率
25.00%
发文量
24
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