线性分式随机方程的Harnack型不等式

IF 0.3 Q4 STATISTICS & PROBABILITY

Random Operators and Stochastic Equations Pub Date : 2020-11-07 DOI:10.1515/rose-2020-2046

B. Boufoussi, S. Mouchtabih

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引用次数: 0

摘要

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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Harnack-type inequality for linear fractional stochastic equations

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.

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来源期刊

Random Operators and Stochastic Equations STATISTICS & PROBABILITY-

CiteScore

0.60

自引率

25.00%

发文量