Shift Harnack inequality and integration by parts formula for functional SDEs driven by fractional Brownian motion (Q2796736)
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scientific article; zbMATH DE number 6560791
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Shift Harnack inequality and integration by parts formula for functional SDEs driven by fractional Brownian motion |
scientific article; zbMATH DE number 6560791 |
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Shift Harnack inequality and integration by parts formula for functional SDEs driven by fractional Brownian motion (English)
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29 March 2016
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stochastic functional differential equation
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fractional Brownian motion
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segment process
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shift Harnack inequality
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integration by parts formula
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The author applies a transformation formula for fractional Brownian motion in order to establish the shift Harnack inequality and the integration by parts formula for the segment process in a stochastic functional differential equation driven by fractional Brownian motion with Hurst parameter \(1/2 < H < 1\). The diffusion coefficient equals 1, so the equation under consideration has additive noise. Under Lipschitz conditions, an existence-uniqueness result is established, and then the main result is obtained.
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