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- Title
Harnack-type inequality for linear fractional stochastic equations.
- Authors
Boufoussi, Brahim; Mouchtabih, Soufiane
- 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.
- Subjects
STOCHASTIC differential equations; WIENER processes; BROWNIAN motion; DIFFERENTIAL inequalities; EQUATIONS; MATHEMATICAL equivalence
- Publication
Random Operators & Stochastic Equations, 2020, Vol 28, Issue 4, p281
- ISSN
0926-6364
- Publication type
Article
- DOI
10.1515/rose-2020-2046