Harnack inequality and derivative formula for SDE driven by fractional Brownian motion

作     者：FAN XiLiang 

作者机构：School of Mathematical Sciences Beijing Normal University Department of Mathematics Anhui Normal University 

出 版 物：《Science China Mathematics》 (中国科学：数学（英文版）)

年 卷 期：2013年第56卷第3期

页      面：515-524页

核心收录：

学科分类：02[经济学] 0202[经济学-应用经济学] 020208[经济学-统计学] 07[理学] 0714[理学-统计学（可授理学、经济学学位）] 070103[理学-概率论与数理统计] 0701[理学-数学] 070101[理学-基础数学] 

基　　金：supported by National Natural Science Foundation of China(Grant Nos.11131003 and 10901003) Specialized Research Fund for the Doctoral Program of Higher Education(Grant No.20100003110005) the Laboratory of Mathematical and Complex Systems the Fundamental Research Funds for the Central Universities Key Project of Chinese Ministry of Education(Grant No.211077) 

主　　题：Harnack inequality stochastic differential equation fractional Brownian motion 

摘      要：In the paper, Harnack inequality and derivative formula are established for stochastic differential equation driven by fractional Brownian motion with Hurst parameter H 1/2. As applications, strong Feller property, log-Harnack inequality and entropy-cost inequality are given.