Harnack inequalities for SDEs driven by subordinator fractional Brownian motion

Zhi Li and Litan Yan

Statistics & Probability Letters, 2018, vol. 134, issue C, 45-53

Abstract: By using a transformation formulas for fractional Brownian motion, the Harnack inequalities for stochastic differential equations driven by subordinator fractional Brownian motion with Hurst parameter H∈(1∕2,1) are established.

Keywords: Harnack inequality; Fractional Brownian motion; Subordinator (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1016/j.spl.2017.10.015

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