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Harnack Inequalities for SDEs Driven by Time-Changed Fractional Brownian Motions
- Source :
- Electron. J. Probab. 22 (2017), no. 71, 1-23
- Publication Year :
- 2016
-
Abstract
- We establish Harnack inequalities for stochastic differential equations (SDEs) driven by a time-changed fractional Brownian motion with Hurst parameter $H\in(0,1/2)$. 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.
- Subjects :
- Mathematics - Probability
Subjects
Details
- Database :
- arXiv
- Journal :
- Electron. J. Probab. 22 (2017), no. 71, 1-23
- Publication Type :
- Report
- Accession number :
- edsarx.1609.00885
- Document Type :
- Working Paper