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2009 Harnack Inequality for Functional SDEs with Bounded Memory
Abdelhadi Es-Sarhir, Max-K. von Renesse, Michael Scheutzow
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Electron. Commun. Probab. 14: 560-565 (2009). DOI: 10.1214/ECP.v14-1513

Abstract

We use a coupling method for functional stochastic differential equations with bounded memory to establish an analogue of Wang's dimension-free Harnack inequality [13]. The strong Feller property for the corresponding segment process is also obtained.

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Abdelhadi Es-Sarhir. Max-K. von Renesse. Michael Scheutzow. "Harnack Inequality for Functional SDEs with Bounded Memory." Electron. Commun. Probab. 14 560 - 565, 2009. https://doi.org/10.1214/ECP.v14-1513

Information

Accepted: 13 December 2009; Published: 2009
First available in Project Euclid: 6 June 2016

zbMATH: 1195.34124
MathSciNet: MR2570679
Digital Object Identifier: 10.1214/ECP.v14-1513

Subjects:
Primary: 34K50
Secondary: 60J65

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