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Shift Harnack inequality and integration by parts formula for functional SDEs driven by fractional Brownian motion


Author: Zhi Li
Journal: Proc. Amer. Math. Soc. 144 (2016), 2651-2659
MSC (2010): Primary 60H15; Secondary 60G15, 60H05
DOI: https://doi.org/10.1090/proc/12915
Published electronically: December 22, 2015
MathSciNet review: 3477083
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Abstract: The shift Harnack inequality and the integration by parts formula for functional stochastic differential equations driven by fractional Brownian motion with Hurst parameter $ \frac 12 <H<1$ are established by using a transformation formula for fractional Brownian motion and a new coupling argument.


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Additional Information

Zhi Li
Affiliation: School of Information and Mathematics, Yangtze University, Jingzhou 434023, People’s Republic of China

DOI: https://doi.org/10.1090/proc/12915
Keywords: Fractional Brownian motion, shift Harnack inequality, integration by parts formula
Received by editor(s): May 4, 2015
Received by editor(s) in revised form: July 13, 2015
Published electronically: December 22, 2015
Communicated by: David Levin
Article copyright: © Copyright 2015 American Mathematical Society