Harnack Inequalities for Functional SDEs with Multiplicative Noise and Applications
arXiv:1012.5688 · doi:10.1214/10-AOP600
Abstract
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 \cite{W97} is also investigated.
22 pages
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Cited by in corpus (16)
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