Harnack inequality for mean-field stochastic differential equations

Gaofeng Zong and Zengjing Chen

Statistics & Probability Letters, 2013, vol. 83, issue 5, 1424-1432

Abstract: Buckdahn et al. (2009b) introduced a mean-field stochastic differential equation to study the backward stochastic differential equation. The objective of the present paper is to deepen the investigation of such mean-field stochastic differential equations by studying them in a Brownian motion framework. By constructing a coupling, log-Harnack inequality and Harnack inequality with dimension-free are established for such mean-field stochastic differential equations.

Keywords: Mean-field models; Harnack inequality; Stochastic differential equations; Backward stochastic differential equation; Coupling (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1016/j.spl.2013.01.035

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