Harnack inequalities for functional SDEs with multiplicative noise and applications

By constructing a new coupling, the log-Harnack inequality is established for the functional solution of a delay stochastic differential equation with multiplicative noise. As applications, the strong Feller property and heat kernel estimates w.r.t. quasi-invariant probability measures are derived for the associated transition semigroup of the solution. The dimension-free Harnack inequality in the sense of Wang (1997) [14] is also investigated.

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Year of publication:	2011
Authors:	Wang, Feng-Yu ; Yuan, Chenggui
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 121.2011, 11, p. 2692-2710
Publisher:	Elsevier
Keywords:	Harnack inequality Functional solution Delay SDE Strong Feller property Heat kernel

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009318778