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2012 Harnack inequalities for stochastic (functional) differential equations with non-Lipschitzian coefficients
Jinghai Shao, Feng-Yu Wang, Chenggui Yuan
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Electron. J. Probab. 17: 1-18 (2012). DOI: 10.1214/EJP.v17-2140

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.

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Jinghai Shao. Feng-Yu Wang. Chenggui Yuan. "Harnack inequalities for stochastic (functional) differential equations with non-Lipschitzian coefficients." Electron. J. Probab. 17 1 - 18, 2012. https://doi.org/10.1214/EJP.v17-2140

Information

Accepted: 23 November 2012; Published: 2012
First available in Project Euclid: 4 June 2016

zbMATH: 1287.60074
MathSciNet: MR3005718
Digital Object Identifier: 10.1214/EJP.v17-2140

Subjects:
Primary: 60H10
Secondary: 47G20, 60J60

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