Harnack Inequalities for G-SDEs with Multiplicative Noise

The Harnack inequality for stochastic differential equation driven by G -Brownian motion with multiplicative noise is derived by means of the coupling by change of measure, which extends the corresponding results derived in Wang (Probab. Theory Related Fields 109:417–424) under the linear expectatio...

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Bibliographic Details
Published inCommunications in mathematics and statistics Vol. 12; no. 2; pp. 279 - 305
Main Author Yang, Fen-Fen
Format Journal Article
LanguageEnglish
Published Berlin/Heidelberg Springer Berlin Heidelberg 01.06.2024
Springer Nature B.V
Subjects
Differential equations
Mathematics
Mathematics and Statistics
Statistics
Harnack inequality
Brownian motion
Multiplicative noise
60H10
SDEs
Gradient estimate
60H15
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Summary:The Harnack inequality for stochastic differential equation driven by G -Brownian motion with multiplicative noise is derived by means of the coupling by change of measure, which extends the corresponding results derived in Wang (Probab. Theory Related Fields 109:417–424) under the linear expectation. Moreover, we generalize the gradient estimate under nonlinear expectation appeared in Song (Sci. China Math. 64:1093–1108).
Bibliography:ObjectType-Article-1
SourceType-Scholarly Journals-1
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ISSN:2194-6701
2194-671X
DOI:10.1007/s40304-022-00290-x