Harnack Inequality and Applications for SDEs Driven by $G$-Brownian motion
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Publication:6305848
DOI10.1007/S10255-020-0957-9arXiv1808.08712MaRDI QIDQ6305848
Publication date: 27 August 2018
Abstract: We establish Harnack inequality and shift Harnack inequality for stochastic differential equation driven by $G$-Brownian motion. As applications, the uniqueness of invariant linear expectations and estimates on the $sup$-kernel are investigated, where the $sup$-kernel is introduced in this paper for the first time.
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65)
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