Harnack inequalities for SDEs driven by time-changed fractional Brownian motions

DOI10.1214/17-EJP82zbMath1386.60147arXiv1609.00885OpenAlexW2964000154MaRDI QIDQ2411861

Rene L. Schilling, Chang Song Deng

Publication date: 25 October 2017

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1609.00885

zbMATH Keywords

stochastic differential equationHarnack inequalityfractional Brownian motionrandom time-change

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (6)

Smoothing effect and derivative formulas for Ornstein-Uhlenbeck processes driven by subordinated cylindrical Brownian noises ⋮ Harnack inequalities for SDEs driven by subordinator fractional Brownian motion ⋮ Truncated Euler-Maruyama method for classical and time-changed non-autonomous stochastic differential equations ⋮ Harnack inequalities for functional SDEs driven by subordinate Brownian motions ⋮ Harnack inequalities for functional SDEs driven by subordinate fractional Brownian motion ⋮ Harnack inequalities for functional SDEs driven by subordinate multifractional Brownian motion

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