Harnack Inequalities for Stochastic (Functional) Differential Equations with Non-Lipschitzian Coefficients

Abstract

By using coupling arguments, Harnack type inequalities are established for a class of stochastic (functional) differential equations with multiplicative noises and non-Lipschitzian coefficients. To construct the required couplings, two results on existence and uniqueness of solutions on an open domain are presented.

22 pages

References in corpus (1)

• Harnack Inequalities for Functional SDEs with Multiplicative Noise and Applications

Cited by in corpus (1)

• Shift Harnack Inequality and Integration by Part Formula for Semilinear SPDE